ISDA has published the ISDA SIMM® Methodology, version 2.6, with an effective date of December 2, 2023.
This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology. The SIMM methodology remains a central part of the SIMM Governance Framework that SIMM users are expected to adhere to.
The effective date of December 2, 2023 means that SIMM users should use SIMM version 2.6 to calculate the initial margin for Close of Business (COB) on Friday, December 1, 2023 onwards. This means that the first day for exchange of initial margin calculated using SIMM version 2.6 would be on Monday, December 4, 2023.
Documents (1) for ISDA Publishes ISDA SIMM® Methodology, Version 2.6
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