ISDA SIMM™ is one of the approved ways to calculate IM for UMR. This guide will introduce the background to how SIMM works including the flow of calculations. It will also explain the need for your firm to build or buy the capability to calculate IM using SIMM™.
How do you map your portfolio into SIMM™? The need for SIMM™ calibration, and the procedure to complete a SIMM™ calculation.
How is a CRIF file used? What are the required inputs to SIMM™, and the procedure for producing an IM figure.
How does SIMM™ affect your organisation? How do you acquire SIMM™ capability? What governance do you need around the model? How do you make all the necessary choices?
A high level description of a proposal by ISDA to allow dealers to act as calculation agents for other firms needing SIMM™ And a brief update on the proposed new timing of UMR.