Tue, Jun 16, 2020Event Details for Fundamentals of Derivatives Register Now for Fundamentals of Derivatives
3 CPD Credit Hours Available (England and Wales)
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Thursday, June 25, 2020Print 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 (IM), 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
- Example to illustrate calculation using methodology
- Comparison of IM 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.
VenueBack 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.
PricingBack 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 firstname.lastname@example.org
Course LevelBack to Top
Some knowledge of derivatives is assumed. No advance preparation is required.
ContactBack to Top
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 email@example.com.