SIMM for Excel

Access the power of cloud-hosted SIMM analytics directly from spreadsheets

For financial firms subject to ISDA SIMM, we offer a free trial (no vendors please)

Start your FREE Trial »

CLARUS Excel Workbook or Add-in

SIMM Initial Margin and what-if analysis

Generate CRIF sensitivities

Easy to Trial, Purchase and Start Using

Learn about SIMM for Excel


Latest Posts

  • Nov, 5

    ISDA SIMM Concentration Thresholds for IR Risk

    We last looked at ISDA SIMM Concentration Thresholds in January 2017, when ISDA SIMM version 1.2 introduced the concept. That blog detailed an Excel implementation of the concentration threshold calculation for interest rate delta risk and proved very popular. The methodology in SIMM v2.2 remains the same, just the thresholds themselves are changed. Today I […]

    Read more
    Oct, 23

    ISDA SIMM v2.2 – Are you ready?

    ISDA SIMM 2.2 is effective December 1, 2019 Updated with a full re-calibration and industry backtesting Initial Margin will change for all portfolios Our clients can check the impact leading up to the effective date And can be confident on implementing SIMM v2.2 on time If you are interested in joining them, we offer free trials […]

    Read more
  • Jun, 12

    LIBOR Fallbacks and Uncleared Margin Rules

    LIBOR fallbacks and Uncleared Margin Rules are hot topics across the industry. We highlight the Basel guidance that any amendments to LIBOR contracts as a result of Benchmark reform will not trigger the need to post margin. This is important guidance to ensure the uptake of new RFRs is simple. Two of our big blog […]

    Read more
    Jun, 5

    Optimising IM in Swaptions

    Whille writing my recent blogs on FX SIMM IM optimization (here and here), I wondered about progress on the Rates equivalent.   I knew swaptions to be key and that Capitalab had focused on them from the get-go and also that Capitalab pipes executions through its affiliated BGC SEF. So, I took at look in SEFView […]

    Read more
  • Apr, 10

    ISDA SIMM FX Optimisation and NDFs

    Since Uncleared Margin Rules started to bite in September 2016, traditional NDFs have shifted markedly to clearing in response to UMR (see NDF Volume Data). Deliverable currency NDFs have also experienced dramatic increases but with much smaller clearing percentages.  Why the low clearing percentages?  Answer: there’s a whole different purpose to these trades. I explain […]

    Read more
    Nov, 14

    ISDA SIMM 2.1 – Are You Ready for Implementation?

    ISDA SIMM 2.1 is effective December 1, 2018 Updated with a full re-calibration and industry backtesting Initial Margin will change for all counterparty portfolios Our Customers can check the impact leading up to the effective date And can be confident on implementing SIMM 2.1 on time If you are interested in joining them, we offer free […]

    Read more
  • Oct, 3

    Should the $8 billion UMR threshold for IM increase to $100 billion?

    ISDA, SIFMA and other trade associations recently published a letter addressed to BCBS and IOSCO, which makes very interesting and important recommendations for the remaining phases of the IM implementation required under Uncleared Margin Rules. (full letter here). Background Uncleared margin rules (UMR) required Phase 1, 2 and 3 firms, with >$3 trillion, >$2.25 trillion […]

    Read more
    Sep, 20

    Margin for Non-Cleared Derivatives

    Uncleared Margin Rules (UMR) for IM have now been in force for one year The ISDA Margin Survey 2017 provides a snapshot of IM delivered and received $47.2 billion and $46.6 billion respectively, between Phase One firms (March 31, 2017) I look at how the figures compare to an $800 billion estimate from 2012 What […]

    Read more
  • Sep, 12

    ISDA SIMM 2.0 – What You Need to Know

    ISDA SIMM version 2.0 is coming in December 2017. Re-calibration and new risk factors will mean Initial Margin changes for all portfolios. SIMM for Excel gives you the tools to understand and model these changes. Quickly compare before/after SIMM levels in Excel. Drill-down into Counterparty and Risk Factor levels. Perform your own analysis and optimisation […]

    Read more
    Sep, 5

    VM Big Bang – Impact on FX Markets

    The six month reprieve from UMRs expired 1st September. We look at trading in uncleared markets in the past six months to see if anything changed. The number of uncleared IRS trades has shrunk by 50% as the regulations took hold. Products with no cleared alternatives continue to trade bilaterally. Volumes have continued to be […]

    Read more