ISDA SIMM Training • Non-Technical Workshop
Thursday, June 11, 2020ISDA Conference CenterNew York
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
8:15 AM Registration and Continental Breakfast
8:45 AM Introduction and Welcoming Remarks Tara Kruse
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 Initial Margin 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.
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.