ISDA has published the ISDA SIMM® Methodology, version 2.5, with an effective date of December 3, 2022.
This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. The updates also include references to the ISDA SIMM Governance Framework (“Framework”) to emphasize that the SIMM methodology remains a central part of the Framework that SIMM users are expected to adhere to.
The effective date of December 3, 2022 means that SIMM users should use SIMM version 2.5 to calculate the initial margin for Close of Business (COB) on Friday, December 2, 2022 onwards. This means that the first day for exchange of initial margin calculated using SIMM version 2.5 would be on Monday, December 5, 2022.
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