Beyond UMR: Calculating Sensitivities and IM under ISDA SIMM™

Learn how firms can prepare and minimize the impact of upcoming changes to Uncleared Margin Rules (UMR).

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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

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Initial Margin Calculation Service based on the ISDA SIMM™ methodology


  • Risk coverage of instrument types including advanced derivatives instruments
  • Calculation powered by ICE Data Derivatives’ extensive derivatives market data
  • Quick delivery of output file
  • Optional platforms that can help price, analyze historical or real-time information or run simulations to help verify input data
  • Frequency of service is on-demand: pre-trade, intra-day and end of day

Flexible Delivery Options

  • Reports can be delivered in a Zip format with a margin report in Excel® and a text file in CRIF
  • Users can export the CRIF file (ISDA SIMM buckets) to calculate the same margin in an external system
  • Users can also import an externally generated CRIF file to generate a SIMM report

Derived Input Data

Ongoing Data

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

Historical Data

Rich, dense implied historical data across a range of asset classes and products, with up to 10+ years, daily granularity to help back test the SIMM margin

Learn more about our ISDA SIMM offering