ISDA has published the ISDA SIMM™ Methodology, version 2.5A, with an effective date of July 15, 2023.
This version of SIMM includes updates based on the off-cycle recalibration of only the main interest rate delta risk weights and testing of the methodology as part of industry quarterly monitoring exercise. The SIMM methodology remains a central part of the SIMM Governance Framework that SIMM users are expected to adhere to.
The effective date of July 15, 2023 means that SIMM users should use SIMM version 2.5A to calculate the initial margin for Close of Business (COB) on Friday, July 14, 2023 onwards. This means that the first day for exchange of initial margin calculated using SIMM version 2.5A would be on Monday, July 17, 2023.
Documents (1) for ISDA publishes ISDA SIMM™ Methodology, version 2.5A
Latest
Expanding the Universe of Eligible VM
ISDA conducted a series of interviews with buy- and sell-side firms to understand the drivers of a growing use of non-cash assets as variation margin (VM) for non-cleared over-the-counter (OTC) derivatives and the barriers that remain to expanding the use...
ISDA Response on Hedge Accounting Guidance
On August 14, ISDA responded to an exposure draft from the Financial Accounting Standards Board (FASB). ISDA broadly supports the FASB’s proposed targeted improvements to hedge accounting, including allowing interest rate hedging of held-to-maturity (HTM) debt securities, recognizing all Secured...
Joint Response to EBA Consultation
On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act under Article 8 of...
Response to JSCC on Clearing Fund Consolidation
On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...