ISDA SIMM Training – Non-Technical Workshop

Tuesday, September 17, 2019

Member US$250.00

Non-Member US$300.00

Event begins in:

Jump to Section:

Tuesday, September 17, 2019

Print Agenda ISDA SIMM Training – Non-Technical Workshop for

8:15 AM Registration and Continental Breakfast

8:55 AM Introduction and Welcoming Remarks Tara Kruse

Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA

9:00 AM Initial Margin, its Requirements and the Case for SIMM Nnamdi Okaeme

  • What is initial margin?
  • BCBS 317 – Principle 3: Methodologies for the Calculation of Initial Margin
  • IM Schedule – Requirements and IM Calculation
  • Quantitative IM model and the industry’s need for a standard quantitative model
Nnamdi Okaeme, Director, Risk and Capital, ISDA

9:30 AM ISDA SIMM - Background Emma Jones

  • Principles adopted by the industry for the development of SIMM
  • Summary of how SIMM meets Regulatory Requirements across Jurisdictions
  • Key concepts to understand SIMM:
    • Sensitivity-based 99% 10-day approach
    • Risk Factors
    • Risk Sensitivities
  • Modelling Risk in Derivative Contracts
Emma Jones, Director, Quantitative Analytics, UBS

10:30 AM Coffee Break

10:45 AM ISDA SIMM – Methodology and Calculation Martin Baxter

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

11:45 AM Reconciling Initial Margin Differences Harish Modhvadia

  • Agreeing IM method in Collateral Agreements
  • Sources of IM differences
  • Approach to reconciling IM differences
  • Reporting Reconciliation Issues
Harish Modhvadia, Director, Financial Resources Management, Barclays Bank Plc

12:15 PM Workshop Concludes

Agenda is subject to change.

Back to Top

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.

Back to Top

Martin Baxter



Emma Jones

Director, Quantitative Analytics


Tara Kruse

Global Head of Infrastructure, Data and Non-Cleared Margin



Harish Modhvadia

Director, Financial Resources Management

Barclays Bank Plc

Nnamdi Okaeme

Director, Risk and Capital



Back to Top

Registration fee is for one person to attend the entire event. Pass may not be split between multiple attendees.
Groups of three or more attendees from the same firm can receive a 20% discount on event registrations. To register your group, please email

Member US$250.00

Non-Member US$300.00

Back to Top


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

Back to Top

Follow us on Twitter @isdaconferences for the latest on upcoming events. For general questions, including exhibition/sponsorship opportunities, conference topics or location suggestions contact us: | +1 212-901-6000

ISDA SIMM™ is a registered trademark of the International Swaps and Derivatives Association, Inc. (ISDA). Market participants or service providers wishing to license ISDA SIMM or other ISDA intellectual Property should contact