ISDA SIMM™ Training • Non-Technical Workshop

Thursday, November 7, 2019
ISDA Conference Center
New York

Member $250 U.S.

Non-Member $300 U.S.

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Thursday, November 7, 2019

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

8:15 AM Registration and Continental Breakfast

8:45 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 Tara Kruse

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

9:45 AM ISDA SIMM – Background Kevin Krabbenhoeft

  • 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
Kevin Krabbenhoeft, Executive Director, JPMorgan Chase & Co.

10:30 AM Coffee Break

10:45 AM ISDA SIMM – Methodology and Calculation John P. Boyle

  • Description of the ISDA SIMM
  • Methodology
  • Example to illustrate calculation using methodology
  • Comparison of Initial Margin from SIMM versus Schedule
John P. Boyle, Senior Manager, EY

11:45 AM Reconciling Initial Margin Differences William Ching

  • Agreeing IM method in Collateral Agreements
  • Sources of IM differences
  • Approach to reconciling IM differences
  • Reporting Reconciliation Issues
William Ching, Risk Analytics, Mizuho Americas

12:15 PM Workshop Concludes

Agenda is subject to change.

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ISDA Conference Center, 10 East 53rd Street (entrances on 52nd and 53rd Streets), 8th Floor, New York, NY 10022, Phone: +1 (212) 901-6000. Please find a map to the venue here.

ISDA has a special rate available at the Omni Berkshire Place, 21 East 52nd Street, New York, NY 10022, +1 212-753-5800, located on the same block as the ISDA Conference Center.
For reservations online click here OR call the Reservation Center at +1 800-843-6664 and mention the International Swaps and Derivatives Association, Inc. (ISDA) special rate. ISDA’s special rate is based on availability at the time of booking.

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John P. Boyle

Senior Manager

EY

William Ching

Risk Analytics

Mizuho Americas

BillChing2

Kevin Krabbenhoeft

Executive Director

JPMorgan Chase & Co.

Tara Kruse

Global Head of Infrastructure, Data and Non-Cleared Margin

ISDA

ISDAConferences

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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 conferences@isda.org prior to the event.

Member $250 U.S.

Non-Member $300 U.S.

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Intermediate

The course level is intermediate. 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. www.nasba.org

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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: conferences@isda.org | +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 isdalegal@isda.org.