Additional Margin


Description	Contribution of the Additional Margin into the Total Margin
Required hierarchies	PortfolioID

Formula

Additional IM = AddOnFixed + AddOnNotional + AddOnSIMM


Description	Fixed portion of the Additional Margin
Notation	$AddOnFixed$

Formula

AddOnFixed = Param_AddOnFixedAmount


Description	Portion of the Additional Margin defined as percentage of notional
Notation	$AddOnNotional$

Formula

AddOnNotional = \sum_{p \in products} Param\ AddOnNotionalFactor_p \cdot Notional_p


Description	Notional Multiplier parameter for a given regulation and netting set (PortfolioID)


Description	Portion of the Additional Margin defined as percentage of sensitivity-based margin
Notation	$AddOnSIMM$

Formula

AddOnSIMM = \sum_{pc \in product\ classes} Param\ ProductClassMultiplier_pc \cdot SIMM_{pc}


Description	Product Class Multiplier parameter for a given regulation and netting set (PortfolioID)