The Standard Initial Margin Model (SIMM), produced by ISDA, provides a methodology for the calculation of initial margin (IM) for uncleared swaps that complies with margin requirements for non-centrally cleared derivatives in the US, European Union (EU), and Japan.
SIMM has been designed to mitigate systematic risk and create a global collateral margining framework that will lead to greater transparency and less disputes. The ISDA periodically reassesses and recalibrates SIMM risk factors in order to meet regulatory standards and market conditions. In fact, version 2.0 was released in December 2017.
The implementation of SIMM has significant implications for financial firms in documentation, asset pricing, analytics and data management to support funding and liquidity functions. Voltaire Advisors hosted a webinar to help industry professionals understand these issues, and their options when it comes to managing SIMM.