ISDA SIMM™ Training – Non-Technical Workshop

Thursday, May 10, 2018

This workshop provides a background and the basics for understanding the ISDA SIMM methodology, its implementation and use.

Educational Credits

3 CPD Credit Hours Available (England and Wales)

3.5 CLE Credit Hours Available (New York)
Transitional and Nontransitional

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Thursday, May 10, 2018

8:15 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks

9:00 AM Derivatives Risk

  • Risk Factors
  • Risk Sensitivities
  • Modelling Risk in Derivative Contracts

9:30 AM Initial Margin (IM) Requirements for Non-cleared Derivatives

  • BCBS 317 – Principle 3: Methodologies for the Calculation of IM
  • IM Schedule – Requirements and IM Calculation
  • Quantitative IM Model - Requirements

10:00 AM ISDA SIMM – Background

  • The industry’s need for a standard quantitative model
  • Sensitivity-based 99% 10-day approach
  • Summary of how SIMM meets regulatory requirements across jurisdictions

10:30 AM Coffee Break

10:45 AM ISDA SIMM – Methodology and Calculation

  • Description of the ISDA SIMM
  • Methodology
  • Example to illustrate calculation using methodology
  • Comparison of Initial Margin from SIMM versus schedule

11:45 AM Reconciling Initial Margin Differences

  • Agreeing IM method in Collateral Agreements
  • Sources of IM differences
  • Approach to reconciling IM differences
  • Reporting Reconciliation Issues

12:15 PM Workshop Concludes

Register Now for ISDA SIMM™ Training – Non-Technical Workshop
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Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700. A map to the venue can be found here. You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.

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Some knowledge of derivatives is assumed. No advance preparation is required.

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ISDA is an accredited provider of continuing education credits by the following organizations:

  • CLE

    ISDA has been certified by the New York State Continuing Legal Education Board as an Accredited Provider of continuing legal education in the state of New York.

  • CPE Sponsory

    ISDA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors: 150 Fourth Avenue North, Suite 700, Nashville, TN 37219-2417.

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