This workshop provides a background and the basics for understanding the ISDA Standard Initial Margin Model (SIMM) methodology, its implementation and use.
3.5 CPE Credit Hours Available
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Thursday, November 7, 2019Print Agenda ISDA SIMM™ Training • Non-Technical Workshop for
8:15 AM Registration and Continental Breakfast
8:45 AM Introduction and Welcoming Remarks Tara Kruse
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
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
10:30 AM Coffee Break
10:45 AM ISDA SIMM – Methodology and Calculation John P. Boyle
- Description of the ISDA SIMM
- Example to illustrate calculation using methodology
- Comparison of Initial Margin from SIMM versus Schedule
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
12:15 PM Workshop Concludes
Agenda is subject to change.
VenueBack to Top
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.
SpeakersBack to Top
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 prior to the event.
Course LevelBack to Top
The course level is intermediate. Some knowledge of derivatives is assumed. No advance preparation is required.
AccreditationBack to Top
ISDA is an accredited provider of continuing education credits by the following organizations:
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.
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
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.