International Swaps and Derivatives Association, Inc.

Robert Liu

Oliver Frankel

Athanassios Diplas

Alistair Smith

Nicholas Steele

Tomo Kodama

Kevin Krabbenhoeft

Hitanshi Thaman

A Standard Initial Margin Model (SIMM) is calculated and provided as an overall initial margin for non-cleared derivatives. In certain embodiments, using at least one computing device, information associated with a plurality of risk classes is acquired, and a delta margin, a vega margin, and a curvature margin for each risk class based on the acquired information associated is determined. The at least one computing device calculates initial margin for each risk class by summing the respective delta margin, the respective vega margin, and the respective curvature margin. The at least one computing device determines whether product classes will be used in calculating the overall initial margin, calculates the overall initial margin using an equation based on the determination, and provides the overall initial margin. The amount of the initial margin call for the underlying derivatives contract may then be generated based on the calculated initial margin.

Method and system for calculating and providing initial margin under the standard initial margin model

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New York, NY, United States of America

Robert Liu