Learn how firms can prepare and minimize the impact of upcoming changes to Uncleared Margin Rules (UMR).
The ISDA Standard Initial Margin Model (ISDA SIMM™) is a common methodology for calculating initial margin for non-centrally cleared derivatives, an important part of the derivatives reform package agreed by the G-20. The methodology was developed as part of ISDA’s Working Group on Margin Requirements (WGMR) to help participants meet the new BCBS-IOSCO margin framework for non-cleared derivatives.
With ISDA SIMM, margin calculations depend on identification of ISDA SIMM Risk Buckets for each underlying asset.
ICE Data Derivatives offers an initial margin calculation service based on the ISDA SIMM methodology and the necessary derived input data for the calculation of ISDA SIMM Initial Margin across a range of asset classes.
Whitepaper: Using ISDA SIMM for intra-day margin optimization
Flexible Delivery Options
Market calibrated derived OTC data sets for the client to integrate downstream in order to calculate ISDA SIMM based sensitivities and initial margin
Delivered in real-time via the ICE Consolidated Feed