Initial Margin
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Initial Margin, originated from IHS Markit, provides initial margin calculation services within our well established Portfolio Valuations service for OTC derivatives. Leverage Initial Margin for regulation compliance and collateral processes.
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 threshold monitoring provides 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
Service Provider Information
At S&P Global Market Intelligence, we understand the importance of accurate, deep and insightful information. Our team of experts delivers unrivaled insights and leading data and technology solutions, partnering with customers to expand their perspective, operate with confidence, and make decisions with conviction.
Key Information
Use Cases
- 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 threshold 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.
Benefits
- Accuracy: Our calculations are based on our industry-leading valuations and risk sensitivities, using high quality market data.
- Consistency: One source for initial and variation margin calculations provides you with consistent NAV numbers and collateral exposure amounts.
- Support: Our service leverages over 15 years of proven global client support.