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What is Atoti ISDA-SIMM?

Atoti ISDA-SIMM is a solution for calculating initial margin on uncleared derivatives, built on Atoti Server for large portfolios of trades and sensitivities. It is used by collateral and margin operations, regulatory and product control, quantitative, and IT teams. These teams compute, validate, and analyze margin under regulatory uncleared-margin rules. This page assumes familiarity with margin and collateral concepts for uncleared derivatives.
Atoti ISDA-SIMM implements ActiveViam’s interpretation of the ISDA SIMM methodology, licensed from the International Swaps and Derivatives Association, Inc. (“ISDA”), All Rights Reserved. Using the ISDA SIMM™ to calculate initial margin for regulatory purposes requires a license from ISDA, which may be obtained by contacting isdalegal@isda.org.

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Why use Atoti ISDA-SIMM?

Calculating initial margin under ISDA SIMM requires aggregating sensitivities across risk classes, buckets, and correlation structures, then combining the result with any Schedule-based and additional margin components. At scale, batch processes and general-purpose spreadsheets cannot keep that calculation transparent or auditable. Atoti ISDA-SIMM performs the full aggregation directly on raw sensitivity and trade data.
  • Every interim calculation is exposed as a measure: weighted sensitivities, concentration risk factors, bucket-level margins, and risk-class-level margins.
  • Any result can be drilled down to the trades and inputs that produced it.
Key capabilities include:
  • Calculate: Compute SIMM (delta, vega, curvature, and base correlation margins), Schedule-based margin, and additional margin add-ons per netting set. Calculate in both Post and Collect modes, and compare the worst-of margin across applicable regulations.
  • Explain: Drill into any margin figure down to the contributing risk factors, buckets, and trades, using the same aggregation steps defined by the methodology.
  • Simulate: Use What-If branches to override calibration parameters, upload additional sensitivities, or scale trades, and re-aggregate margin on the fly. Manage and compare multiple hierarchical parameter sets across jurisdictions.

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How does Atoti ISDA-SIMM work?

Atoti ISDA-SIMM is built on Atoti Server’s high-performance query layer, which performs the SIMM and Schedule aggregation steps on-the-fly as data is queried. Source data is produced by an existing risk engine or trade booking system, then loaded into the Atoti in-memory database. This includes sensitivities, notionals, present values, and portfolio and risk-type reference data. Atoti ISDA-SIMM does not compute valuations or sensitivities itself. It also does not convert a bank’s static reference data into required attributes, such as sector or credit quality. Both are expected as input. Atoti ISDA-SIMM is delivered as a reference implementation, including the SIMM and Schedule calculation logic, a defined data model, and predefined measures. It can be used as delivered, conforming to the published input file formats and data stores. Alternatively, it can be adapted to a client’s own source formats as a starting point for customization. Results are available through Atoti UI as configurable dashboards and widgets. These include Parameter Sets, Additional Margin Parameters, Trade Novation, and File Upload for What-If data.

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What is the relationship to other Atoti products?

Atoti ISDA-SIMM is part of the Atoti portfolio for risk management and regulatory capital. It is commonly used alongside:
  • Atoti FRTB for Standardized Approach and Internal Models Approach market risk capital calculations.
  • Atoti Market Risk for enterprise-wide VaR, Expected Shortfall, and sensitivity-based risk management.
  • Atoti UI for dashboards, pivot tables, and the SIMM-specific widgets used to review and simulate margin.