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ISDA SIMM™ · Initial Margin for Uncleared Derivatives

IM calculated.
Validated. Understood.

ISDA-certified SIMM™ 2.4 implementation — from CRIF files or directly from your front-office system. With PnL backtesting, IM forward, what-if analysis, and HVaR benchmarking.

app.everix.io/risk/simm/crif
ID
TradeID
Reg
Product
RiskType
Qual.
Bucket
Delta
C1
C1-S_IR_1
All
RatesFX
IRCurve
USD
1
4000000
C2
C2-S_IR_2
All
RatesFX
IRCurve
USD
1
−3000000
C3
C3-S_IR_3
All
RatesFX
IRCurve
USD
1
3000000
C4
C4-S_IR_4
All
RatesFX
IRCurve
USD
1
3000000
C5
C5-S_IR_5
All
RatesFX
IRCurve
EUR
2
−2000000
C6
C6-S_IR_6
All
RatesFX
IRCurve
EUR
2
5000000
C7
C7-S_IR_7
All
RatesFX
IRCurve
EUR
2
10000000
C8
C8-S_IR_8
All
RatesFX
IRCurve
EUR
2
25000000
1,847 sensitivities loaded · SIMM™ 2.4 · As of 2024-01-15
ISDA
v2.4
CRIF
Backtest
Forward
What-if

Full Coverage

From sensitivities to margin — end to end

Plug in via CRIF files or compute sensitivities directly in Everix. The Rix aggregation engine keeps model updates fast and audit-ready.

CRIF Integration & Sensitivities

Accept CRIF files from any front-office system or compute sensitivities natively. In-house formats normalised automatically. All intermediary metrics visible — drill down to deal and leg level.

Initial Margin by Risk Class (EUR k)

Total IM
21,980 k EUR
Largest driver
IR · 38%
Sensitivities
1,847
CRIF / in-house formatNative sensitivity computationPledgor & secured splitAddOn & schedule methodRix model updates

IM Pledgor & Secured

Pledgor
12,340 k
Secured
9,640 k
  • AddOn & schedule method
  • Pledgor vs secured regulation
  • Adjust & validate for auditing
  • Compatible with internal models

Full SIMM™ Coverage

IRCredit QCredit NQFXEquityCommodityInflation
  • Tested against official ISDA unit tests
  • Fast model updates via Rix engine
  • Drill down to deal and leg level

Backtesting

IM vs PnL.
Every day. Automatically.

Everix compares daily realized PnL against the Initial Margin — automatically flagging breaches and reporting margin adequacy to regulators and risk management.

BacktestDaily realized PnL vs IM — automatic pass/breach detection
ISDA HVaRHistorical VaR benchmarking to validate model adequacy
Drill-downTrace any breach to trade and sensitivity level
ReportingMargin breach reports for internal and regulatory use
1
Breach detected
Jan 8 — PnL −1,287k exceeded IM 1,218k
Backtesting Log — Jan 2024
DateRealized PnLIMStatus
01-02+124,5001,204,000PASS
01-03−88,2001,198,000PASS
01-04−341,8001,215,000PASS
01-05+67,4001,209,000PASS
01-08−1,287,4001,218,000BREACH ⚠
01-09+203,1001,231,000PASS
01-10−445,6001,227,000PASS
01-11+88,7001,224,000PASS
01-12−198,3001,219,000PASS
01-15+312,0001,235,000PASS

Advanced Features

More than just IM.

Optimize margin costs before you trade. Forecast IM over the trade lifecycle. Integrate MVA directly into your XVA P&L.

Minimize IM

Pre-trade Optimization

  • Choose counterparty to minimize new trade IM
  • On-the-fly margin cost estimation
  • Compare across netting sets
Instant

On-the-fly What-if

  • Change deal ↔ counterparty
  • Incremental IM impact
  • Run from Everix or via API
Lifecycle

IM Forward

  • Forecast IM over trade lifetime
  • Forward sensitivities driven
  • Aging and maturity effects
XVA bridge

MVA Integration

  • Integrate IMVA with XVA suite
  • Funding cost of posted IM
  • Consolidated charge view

Consolidated View

IM alongside every other charge.

See Initial Margin, XVA, SA-CCR, and liquidity costs in one place. Marginal versions available at any hierarchy level. Export to CSV.

IM / SIMM™XVASA-CCRLVA / LiquidityMarginal metricsCSV export
Consolidated Charges — Portfolio · EUR · As of 2024-01-15
ChargeAmount (EUR)vs Prior Day
IM1,204,000+8k
CVA426,357+214k
DVA−211,508−41k
FVA84,210+12k
SA-CCR2,841,500−65k
LVA31,880+3k

Related Solutions

XVA

CVA, DVA, FVA with automatic explain and what-if analysis. Integrates MVA from SIMM directly.

Explore

SA-CCR

Standardised Approach CCR — marginal, forward, and pre-trade impact. PFE and RC allocation.

Explore

IFR / IFD

EU/UK capital requirements for investment firms — K-factors, own funds, and regulatory reporting.

Explore

Get Started

See SIMM™ in your portfolio.

We'll walk you through the platform with a real use case, listen to your setup, and tell you honestly if Everix is the right fit.

[email protected]