ISDA SIMM Training – Technical Workshop

Tuesday, September 17, 2019
London

Member US$250.00

Non-Member US$300.00

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Educational Credits

3 CPD Credit Hours Available (England and Wales)

Print Agenda ISDA SIMM Training – Technical Workshop for

12:45 PM Registration and Lunch

1:15 PM Introduction and Welcoming Remarks Tara Kruse

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

1:20 PM ISDA SIMM – Methodology and Calculation (Advanced) Martin Baxter

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

2:25 PM ISDA SIMM Implementation Scott Cogswell, Andrew Hill

  • Data Preparation
  • Building SIMM
  • Operational flows: from calculation to settlement
  • ISDA SIMM Crowdsourcing Utility
Scott Cogswell, Manager, Global Risk Analytics, HSBC
Andrew Hill, Head of Change Management, ICE Benchmark Administration

3:00 PM Coffee Break

3:15 PM ISDA SIMM Annual Cycle Martin Baxter, Tara Kruse, Nnamdi Okaeme

  • Enhancements made from SIMM 1.0 to SIMM 2.1
  • SIMM Monitoring:
    • Evidenced-based approach to SIMM change review
    • Quarterly Monitoring
  • SIMM Calibration
  • SIMM Backtesting and Benchmarking
Martin Baxter, Consultant, ISDA
Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA
Nnamdi Okaeme, Director, Risk and Capital, ISDA

4:10 PM ISDA SIMM Governance and Regulatory Engagement Eduardo Epperlein, Tara Kruse

  • Industry-level governance
  • Firm-level governance
  • IM Advocacy and Changes to Implementation Timelines
Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, Nomura
Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA

4:45 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.


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