Finalyse - Composing Solutions for Finance

ISDA SIMM Initial Margin Computation

Table-based or ISDA approach to computation of the initial margin.
Do you know what is best for you?
Some offset is allowed by applying the familiar net –to- gross ratio (NGR) to the resulting total
Most efficient solution for:
  • Long-dated trades
  • Trades in the same direction
  • Trades denominated in high volatility currencies
Significant decrease in disputes
Relief on the government front
Overlapping of SIMM and FRTB requirements
Balance between conflicting objectives:
  • Non-procyclicality
  • Ease of replication
  • Extensibility to new risk
  • Predictable capital allocation
Finalyse offers you a complete one stop shop for valuation and collateral calculation
MTM to be used for Variation margin
Greeks and sensitivities to be used as input for FRTB and SIMM
The initial margin computation and the drill down to allow for an easy reconciliation
Full support and documentation for audit
Webinar on Derivatives Valuation and Margin Calculations
0100 – 1500
Introduction: The ISDA SIMM: Ian Blance, Voltaire Advisors
1600 – 3000
ISDA SIMM: Derivatives Valuation and Margin: Dr. Russell Goyder, FINCAD
3000 – 4500
Initial Margin under EMIR: Marc-Louis Schmitz, Finalyse
4500 – 6000
Audience questions and answers and the closing of webinar
If you are interested in these services, do not hesitate to contact the FVS Team for more information.

Licensed from International Swaps and Derivatives Association, Inc., All Rights Reserved. Please note that your use of this ISDA SIMM service or product for calculating your firm’s initial margin pursuant to applicable regulations requires a license from the International Swaps and Derivatives Association, Inc. (ISDA), which may be obtained by contacting Licensing the ISDA SIMM provides documentation and support required to properly implement and maintain the ISDA SIMM.