The ISDA Standard Initial Margin Model (ISDA SIMM™) is a common methodology for calculating initial margin for non-centrally cleared derivatives, developed as part of ISDA’s Working Group on Margin Requirements (WGMR) to help market participants meet the new BCBS-IOSCO margin framework for non-cleared derivatives. Margining for non-cleared derivatives is an important and concluding part of the derivatives reform package agreed by the G-20.
With ISDA SIMM, the margin calculations depend upon the identification of appropriate ISDA SIMM Risk Buckets for each underlying asset. If firms disagree on the risk buckets for the assets they won’t be able to agree on the margin that needs to be exchanged.
In order to achieve an independent consensus mapping for each asset, IBA, in collaboration with ISDA, has developed the ISDA SIMM Crowdsourcing Facility. This covers the aggregation and compilation of risk buckets for the underlying assets, enabling market participants to implement the ISDA SIMM consistently and agree the margin that needs to be exchanged. Parties use the results from the crowdsourcing facility as an input for their SIMM calculation.
Please read IBA's benchmark and other information notice and disclaimer here.
Whitepaper: Using ISDA SIMM for intra-day margin optimization
The new regulations will be phased in over five years, starting from 1 September 2016 and are based on banks’ aggregate month-end average notional amount of non-centrally cleared derivatives.
For further details on the phasing, see the Basel Committee on Banking Supervision and the Board of the International Organization of Securities Commissions document on Margin requirements for non-centrally cleared derivatives.
The Crowdsourcing Facility benefits from IBA’s independent governance and also from the governance of the ISDA SIMM Governance Forum run by ISDA.
The expected daily publication time is 05:15 Eastern Time. The publication holidays are: the Christmas Day bank holiday and New Year’s Day bank holiday.
Participants can download and use the data published by the facility for margin calculations for uncleared derivatives as part of the broader application of the ISDA SIMM methodology. Firms that have signed the usage license can access reports here.
Firms who wish to receive the results of the ISDA SIMM Crowdsourcing Facility, either directly from ICE or from a third party, are required to enter into a Usage Licence with ICE Benchmark Administration.
Firms who wish to redistribute the results of the ISDA SIMM Crowdsourcing Facility to third parties are required to enter into a Redistribution Licence.
For more details on licensing please refer to Licensing and Data. Alternatively for any questions on licensing or how to access the ISDA SIMM Crowdsourcing Facility results please contact the IBA licensing team.