ISDA Publishes ISDA SIMM™ 2.1

ISDA has published the ISDA SIMM™ Methodology, version 2.1, with an Effective Date of December 1, 2018. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology.   It also includes a calibrated historical volatility ratio for the interest rate asset class.

Documents (1) for ISDA Publishes ISDA SIMM™ 2.1

ISDA response to ESMA MiFIR Review Consultation

On July 11, ISDA submitted a response to the European Securities and Markets Authority's (ESMA) fourth package of Level 2 consultation under the Markets in Financial Instruments Regulation Review (MiFIR), on transparency for derivatives, package orders and input/output data for...