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

Wednesday, June 17 to Thursday, July 16, 2020
Online


This is a pre-recorded Virtual Conference

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Recording available until July 16, 2020 

 

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

This is a pre-recorded ISDA Virtual Conference:

  • This is a recording of the ISDA SIMM Training – Non-Technical Workshop that took place on June 16, 2020
  • Registrants will have access to the recording until 5:00 PM EST on July 16, 2020
  • After submitting your registration you will receive a confirmation email with a link to view the documents and recording

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Wednesday, June 17, 2020

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

9:00 AM Introduction and Welcoming Remarks Tara Kruse

Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA

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

  • 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
Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA

9:35 AM Break

9:45 AM ISDA SIMM – Background John P. Boyle

  • 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
John P. Boyle, Senior Manager, EY

10:45 AM Break

10:50 AM ISDA SIMM – Methodology and Calculation Nnamdi Okaeme

  • Description of the ISDA SIMM
  • Methodology
  • Example to Illustrate Calculation using Methodology
  • Comparison of Initial Margin from SIMM versus Schedule
Nnamdi Okaeme, Senior Director, Infrastructure, Data and Non-Cleared Margin, ISDA

11:50 AM Break

12:00 PM Reconciling Initial Margin Differences Harish Modhvadia

  • Agreeing IM Method in Collateral Agreements
  • Sources of IM Differences
  • Approach to Reconciling IM Differences
  • Reporting Reconciliation Issues
Harish Modhvadia, Director, Financial Resources Management, Barclays Bank Plc

12:30 PM Workshop Concludes

Register Now for Recording: ISDA Virtual Conference: ISDA SIMM™ Training • Non-Technical Workshop
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John P. Boyle

Senior Manager

EY

Tara Kruse

Global Head of Infrastructure, Data and Non-Cleared Margin

ISDA

ISDAConferences

Harish Modhvadia

Director, Financial Resources Management

Barclays Bank Plc

Nnamdi Okaeme

Senior Director, Infrastructure, Data and Non-Cleared Margin

ISDA

ISDAConferences

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