[author: Shaun Malone]
On September 7, 2017, ISDA launched a new version of its standard initial margin model (SIMM), ISDA SIMM Version 2.0, which includes a full recalibration of risk factors as well as:
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New risk factors for three product types:
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equity volatility indices;
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quanto credit default swaps, which are credit default swaps (CDS) in which the swap payments are in different currencies; and
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municipal swaps.
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Clarification of certain definitions.
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Enhancements to calculations capturing vega margin and commodity indices.
SIMM provides a methodology for the calculation of initial margin (IM) for uncleared swaps that complies with margin requirements for non-centrally cleared derivatives in the US, European Union (EU), and Japan.
ISDA periodically reassesses and recalibrates SIMM risk factors in order to meet regulatory standards and market conditions. SIMM 2.0 reflects requests from US prudential regulators for these modifications. The changes will be effective on December 4, 2017.
