ISDA Launches New Version Of Standard Initial Margin Model

ISDA launched "ISDA SIMM 2.0," the second and latest iteration of the Standard Initial Margin Model.

ISDA SIMM is an industry standard open-source model that is used to calculate initial margin for non-cleared derivatives. ISDA SIMM was created to address regulatory initial margin requirements for such derivatives and to create a common methodology for the market. SIMM 2.0 will enhance the model to take into account additional risk factors for three product types: volatility indices, quanto credit default swaps, and municipal swaps. Other updates include clarification of definitions and "enhancements to the treatment of vega margin and commodity indices." The original version of the ISDA SIMM was instituted in September 2016, and an industry governance committee will conduct an annual review to recalibrate and consider possible alterations to the model.