On June 19, 2015, the International Swaps and Derivatives Association, Inc. (ISDA) published three draft documents relating to its proprietary Standard Initial Margin Model (SIMM) for non-cleared derivatives. The SIMM project aims to provide a common methodology for the calculation of initial margin.
The draft SIMM documents comprise:
- Discussion Document: Uncleared Initial Margin Calculations and Processes Related to the ISDA Working Group on Margin Requirements (WGMR) SIMM Initiative – outlining current implementation challenges surrounding risk-based uncleared margin.
- ISDA SIMM Methodology: Version 2.12 – describing the calculations and methodology for calculating initial margin under the ISDA SIMM for uncleared derivatives.
- ISDA SIMM Methodology: Risk Data Standards, Version 1.12 – setting standards for the details of risk calculation and data exchange and proposing a common standard for interchange of SIMM risk between participants.
The content of this article is intended to provide a general guide to the subject matter. Specialist advice should be sought about your specific circumstances.
