ISDA SIMM™ Training – Non-Technical Workshop

Tuesday, September 17, 2019
London

Member $250 U.S.

Non-Member $300 U.S.

Register for ISDA SIMM™ Training – Non-Technical Workshop
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Educational Credits

3 CPD Credit Hours Available (England and Wales)

Print Agenda ISDA SIMM™ Training – Non-Technical Workshop for

8:15 AM Registration and Continental Breakfast

8:55 AM Introduction and Welcoming Remarks

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

  • 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

9:30 AM ISDA SIMM - Background

  • 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

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

Agenda is subject to change.


Venue Location:

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.


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 isdalegal@isda.org.

2019 International Swaps and Derivatives Association, Inc.
ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.