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Initial Margin and Variation Margin

IRIS – Initial Margin / Variation Margin

IRIS allows fast implementation of Initial Margin / Variation Margin for non-cleared OTC Derivatives through the use of RIX language, so quick new aggregation rules can be designed.

Our implementation of IM/VM includes the following:

  • Generation of IMVM Specific node for covered entities
  • Split of eligible trades between original netting / collateral node to IMVM node at date forward (starting on 01.12.2015)
  • Computation of new metrics for IM-VM, including Initial Margin (both methods allowed), Variation Margin (characteristics described by the BIS paper)
  • Ability to assess at ASOF the forward impact of IMVM by running an aggregation instance of the portfolio without IMVM rules and another one with this effect, so direct quantitative impacts can be assessed
  • Segregation of collateral posted for IN, VM and also DF (in case of central clearing) is supported
  • Risk concentrate and advanced analysis & reporting is easily done through the use of pivot tables