ISDA SIMM: The Trusted Standard for Initial Margin Calculations

The ISDA Standard Initial Margin Model (ISDA SIMM) plays an important role in ensuring margin calculations are consistent, transparent and aligned with global best practices and regulatory requirements. Since its launch in 2016, the model has been rigorously tested, regularly reviewed by global regulators and adopted by buy- and sell-side firms around the globe. To date, 426 groups of entities are now licensed to use the ISDA SIMM, while 65 vendors are licensed to provide ISDA SIMM services.

This paper summarizes the reasons why the ISDA SIMM has become the trusted industry standard for calculating risk-sensitive IM to satisfy margin rules for non-cleared derivatives.

  • Satisfies Regulatory Standards: The ISDA SIMM satisfies the requirement for IM to cover changes in the value of a portfolio over a 10-day period with 99% confidence, resulting in IM amounts that are robust and conversative.
  • Subject to Global Regulatory Review: ISDA shares detailed documents on ISDA SIMM calibration, annual backtesting and ongoing monitoring with a community of global regulators. ISDA also engages in regular discussions with regulators on ISDA SIMM development and maintenance processes.
  • Transparent Methodology: The methodology is published so it can be replicated by anyone and is based on the sensitivity-based approach under the Fundamental Review of the Trading Book (FRTB-SBA), which is designed by regulators.
  • Semiannual calibration: The ISDA SIMM is now calibrated twice a year to ensure it remains responsive to market moves.
  • Uses Portfolio Risk Sensitivities (Greeks): The ISDA SIMM uses delta and vega risk sensitivities as its inputs – standard sensitivities used across the industry, which makes adoption easier.
  • Global Model Governance: An ISDA SIMM Governance Forum coordinates the industry-wide governance process for the development and ongoing maintenance of the model.
  • Independent Model Validation Every Three Years: ISDA SIMM is subject to independent model validation by an external auditor every three years, with the latest independent validation
    exercise performed in 2025.

Critically, use of a single, standardized model across the industry reduces the risk of disputes, ensuring margin amounts can be agreed and posted quickly, reducing delays and mitigating counterparty credit risk.

Click on the attached PDF to read the full report.

Documents (1) for ISDA SIMM: The Trusted Standard for Initial Margin Calculations

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...