ISDA SIMM™ Training—Non-Technical Workshop

Member US$250

Non-Member US$250

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ISDA ON DEMAND is ISDA’s streaming conference service playing on your schedule.

Please note that On Demand links are only valid for 30 days from date of purchase.

For individual use only

Program Agenda


A. Initial Margin (IM), its requirements and the case for SIMM – 22 Minutes

  • 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


B. ISDA SIMM—Background – 58 Minutes

  • 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 Derivatives Contracts

John Boyle, Senior Manager, EY


C. ISDA SIMM Methodologies and Calculations – 57 Minutes

  • 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


D. Reconciling Initial Margin Differences – 32 Minutes

  • 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




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