ISDA SIMM Training • Non-Technical Workshop

Thursday, June 11, 2020
ISDA Conference Center
New York

Member US$250.00

Non-Member US$300.00

Register for ISDA SIMM Training • Non-Technical Workshop
Event begins in:
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This workshop provides a background and the basics for understanding the ISDA Standard Initial Margin Model (SIMM) methodology, its implementation and use.

 

Educational Credits

 3.5 CPE Credit Hours Available

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 (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
Speakers to be Announced.

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
Speakers to be Announced.

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
Speakers to be Announced.

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
Speakers to be Announced.

12:15 PM Workshop Concludes

Agenda is subject to change.


Venue Location:

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.


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.

2020 International Swaps and Derivatives Association, Inc.
ISDA is a registered trademark of the International Swaps and Derivatives Association, Inc.