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Initial Margin Calculation Workflow

Accurate and fast trade calculations to efficiently manage portfolio margins

The mandatory exchange of initial margin for uncleared derivatives under BCBS/IOSCO guidelines is driving the requirement for accurate and fast margin calculations. There is a need to quickly assess the impact of proposed trades, calculate accurate initial margin for completed trades, and seamlessly manage the margin exchange workflow to efficiently manage portfolio margin.

To help address these needs, we provide:

  • Accurate Risk Sensitivities and Initial Margin calculations using the ISDA Standard Initial Margin Model (ISDA SIMMTM) and Schedule based models.
  • Backtesting of SIMM over a historical period and Benchmarking of SIMM against the industry standard risk models to cover the Model Governance requirements.
  • Initial Margin monitoring providing an accurate and flexible way to track Initial Margin exposures. The service is designed to seamlessly evolve into a complete Initial Margin calculation service as thresholds increase.

Margin Compliance

In an increasingly complex environment where both variation and initial margin need to be exchanged, we help you confidently address margin requirements while increasing efficiency across the enterprise.

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