SIMM = Standard Initial Margin Model

It is a common methodology to help market participants calculate initial margin on non-cleared derivatives under the framework developed by the Basel Committee.

The standardised margin methodology was developed by the ISDA, and is intended to reduce the potential for disputes and create efficiency through netting of exposures.

The model applies a sensitivity-based calculation across four product groups: interest rates and foreign exchange, credit, equity and commodities.

An industry governance committee conducts an annual methodology review of the model and oversees any updates and recalibrations.

Independent consensus of risk weights for specific assets is determined by an Isda Simm crowdsourcing utility. Participating banks vote on the appropriate risk buckets for positions on their books that are in scope for the non-cleared margin rules. The results are updated daily and used by market participants as inputs.