ISDA Publishes ISDA SIMM™ 2.0

ISDA has published the ISDA SIMM™ Methodology, version 2.0, with an Effective Date of December 4, 2017. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. It also includes new risk factors for equity volatility indices, quanto CDS, and municipal swaps, as well as enhancements for vega and a separate risk weight bucket for commodity indexes.

Documents (1) for ISDA Publishes ISDA SIMM™ 2.0

Recognition of Cross-product Netting is Critical

US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...

ISDA, GFXD Response to FCA on SI Regime

On September 10, ISDA and the Global Foreign Exchange Division (GFXD) of the Global Financial Markets Association responded to the Financial Conduct Authority's (FCA) consultation paper CP25/20 on the systematic internalizer (SI) regime for derivatives and bonds. ISDA and the...