Case Studies

OSTTRA triCalculate: Initial Margin Analytics

Case Study 1

Client type: European Pension Fund
IM analytics challenge: IM exposure calculations and Pre-deal check simulations
End User: Derivatives trading and structuring desk


Our client who manages the derivatives trading desk at a large European insurance company needed a fast and efficient way of running ‘what-if’ initial margin scenarios in order to optimise exposures before derivatives trade execution.

The client is using OSTTRA triCalculate to calculate their daily IM exposures for derivatives subject to uncleared margin rules. They also benefit from the pre-deal check capabilities of the service which allows them to make informed trading decisions when pricing new deals to find the optimal counterparty in terms of IM. They have been using the service since coming into scope as part of phase 5 of the uncleared margin rules and value having the ability to run fast and efficient pre-deal check simulations. Additionally, they use the pre-deal check module to help mitigate the risk of breaching regulatory UMR or internal thresholds.


Case Study 2

Client type: Leading US Regional Bank
IM analytics challenge: IM exposure calculations, stress testing and forecasting
End User: Collateral management team


Our client who is part of the regional bank’s collateral management team, needed daily IM exposure calculations.

The client needed to simulate changes to trade populations and to assess their impact on their IM exposures as their auditor required the bank to monitor how trade expirations were leading to changes in IM.

Additionally the client had an internal requirement to occasionally benchmark how their IM exposures would change if they switched calculation model by using the schedule/grid approach instead of the more risk sensitive SIMM model. The client’s risk team also required the collateral team to stress their IM exposures by using stressed and/or alternative sources of market data.


Case Study 3

Client type: European Regional Bank
IM analytics challenge: IM exposure calculations and regulatory model backtesting
End User: Credit Risk Manager


Our client manages the credit risk management team of a large regional bank that was in scope for the uncleared margin rules for derivatives transactions.

They needed a solution for calculating their daily IM exposures and also a tool to help them cope with the regulatory requirement of backtesting the SIMM model on a quarterly basis. The bank required a backtesting solution to compare the 10 day SIMM IM to 10 day actual P&L moves.


Our Solution

These firms took the decision to use OSTTRA for their regulatory IM calculations. The service provides an easy-to-use, web-based solution that streamlines the daily IM process. Our clients benefit from transparency into their IM exposures and the ability to gain a more detailed understanding of their overall IM exposures through pre-deal check simulations, backtesting reports and IM analytics via an intuitive and flexible interface. The interactive interface further allows clients to decompose their total IM exposures into its different components and to run detailed P&L explain reports to understand day-to-day changes in margin amounts.

All clients also benefit from being able to run simulations on trade population changes through the interactive interface by uploading amended input files or performing simulations using alternative market data.


For more information about the our Initial Margin analytics service, please email

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