ISDA Virtual Conference: ISDA SIMM™ Training • Non-Technical Workshop

Tuesday, June 16, 2020

Registration for this event will close 2 hours before the live broadcast


This workshop provides a background and the basics for understanding the ISDA Standard Initial Margin Model (SIMM) methodology, its implementation and use.

This is an ISDA Virtual Conference:

  • Event will be live on June 16, 2020 from 9:00 AM – 12:30 PM EST  |  Timezone Converter
  • Miss part of the event or aren’t able to watch live? The recording will be available to registrants until July 16, 2020

The conference will be broadcast via GoToWebinar. Please click here to check your system requirements to ensure you are able to join this event:


Educational Credits

3.5 CPD Credit Hours Available

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Tuesday, June 16, 2020

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

9:00 AM Introduction and Welcoming Remarks

9:05 AM Initial Margin (IM), its requirements and the case for SIMM

  • What is IM?
  • BCBS 317 – Principle 3: Methodologies for the Calculation of IM
  • IM Schedule – Requirements and IM Calculation
  • Quantitative IM model and the industry’s need for a standard quantitative model

9:35 AM Break

9:45 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

10:45 AM Break

10:50 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

11:50 AM Break

12:00 PM Reconciling Initial Margin Differences

  • Agreeing IM Method in Collateral Agreements
  • Sources of IM Differences
  • Approach to Reconciling IM Differences
  • Reporting Reconciliation Issues

12:30 PM Workshop Concludes

Agenda is subject to change.

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