ISDA has published the ISDA SIMM® Methodology, version 2.4, with an effective date of December 4, 2021.
The effective date of December 4, 2021 means that SIMM users should use SIMM version 2.4 to calculate the initial margin for their portfolios for close of business on Friday, December 3, 2021 onwards. This means that the first day for the exchange of initial margin calculated using SIMM 2.4 would be on Monday, December 6, 2021.
This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology.
Documents (1) for ISDA Publishes ISDA SIMM v2.4
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