ISDA SIMM™ Training – Non-Technical Workshop

Tuesday, May 1, 2018
New York

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Tuesday, May 1, 2018

8:15 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks Tara Kruse

Tara Kruse, Head, Non-Cleared Margin Initiative, ISDA

9:00 AM Derivatives Risk

  • Risk Factors
  • Risk Sensitivities
  • Modelling Risk in Derivative Contracts

9:30 AM Initial Margin Requirements for Non-cleared Derivatives

  • BCBS 317 – Principle 3: Methodologies for the Calculation of Initial Margin
  • IM Schedule – Requirements and IM Calculation
  • Quantitative IM Model - Requirements

10:00 AM ISDA SIMM – Background

  • The industry’s need for a standard quantitative model
  • Sensitivity-based 99% 10-day approach
  • Summary of how SIMM meets Regulatory Requirements across Jurisdictions

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

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

Register Now for ISDA SIMM™ Training – Non-Technical Workshop
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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.

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Tara Kruse

Head, Non-Cleared Margin Initiative


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The course level is intermediate. Some knowledge of derivatives  is assumed. No advance preparation is required.

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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