SIMM for Excel
Access the power of cloudhosted SIMM analytics directly from spreadsheets
For financial firms using ISDA SIMM, we offer a free trial
CLARUS Excel Workbook or Addin
SIMM Initial Margin and whatif analysis
Generate CRIF sensitivities
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Latest Posts

Sep, 20
Margin for NonCleared 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 moreSep, 12ISDA SIMM 2.0 – What You Need to Know
ISDA SIMM version 2.0 is coming in December 2017. Recalibration 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. Drilldown into Counterparty and Risk Factor levels. Perform your own analysis and optimisation […]
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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 moreAug, 9Array Formulas in Excel
We explain how to work with Array Formulas in Excel. Master the Three Finger Salute CTRL+SHIFT+ENTER. CTRL+/ is an amazingly effective shortcut. It is always easier to expand an array than shrink it. Consistent formatting provides an obvious visual cue when working with arrays. SIMM for Excel SIMM for Excel is an addin that performs […]
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Aug, 2
ISDA SIMM™ IN PYTHON
The Clarus Microservices API makes it very easy to compute ISDA SIMM™ from Python The input data required is a CRIF file contain risk sensitivities Whatif trades can be easily added to determine the incremental change in margin We provide a Sandbox within our API Reference page for you to try the API methods Before moving […]
Read moreJul, 18ISDA SIMM For Excel
SIMM for Excel performs ISDA SIMM™ Initial Margin calculations from Excel. Free 14day trials are available for all financial firms. Reconcile ISDA SIMM calculations. Perform pretrade analysis of your bilateral trades quickly, simply, reliably. The functions calculate Initial Margin across a whole portfolio. Users can also create CRIF sensitivities from tradelevel details. Functions That Won’t Kill Excel Our […]
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Apr, 18
Microservices: ISDA SIMM™ in R
The Clarus API has a function to compute ISDA SIMM™ from a CRIF file contain portfolio sensitivities. Whatif analysis can be performed in addition to the portfolio margin calculation. The function is very easy to call from many popular languages, including R, Python, C++, Java and Julia. What is R? R is a language and […]
Read moreApr, 5ISDA SIMM™ in Excel – Cross Currency Swaps
The ISDA SIMM™ methodology has been expanded to include Cross Currency Swaps. We explain in detail how to create the required input sensitivities. These sensitivities are not the typical cross currency basis risk that a risk management system would calculate. Once the input sensitivities are calculated, the calculation of Initial Margin follows the typical SIMM equations. We show how […]
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Apr, 4
Microservices: A SIMM Sensitivities Calculator
The Clarus API has a function to compute SIMM sensitivities from many trade description formats, including FpML and CSV trade lists. Results are in ISDA SIMM™ CRIF file format. The function is easily called from popular languages, e.g. Python, R, Julia, C++, and Java. Many related functions are available, see our API documentation. Calling directly […]
Read moreMar, 1ISDA SIMM™ in Excel – Equity Options
We build an IM calculator in Excel for Equity Options under ISDA SIMM™. The methodology builds on the margin methodology for Swaptions, and uses very similar formulae. We cover all forms of IM. This blog is for the Vega and Curvature Margin. There are subtle differences to the implementation for Rates. UPDATE: We now offer free […]
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