ISDA WGMR Implementation Initiative

In September 2013, the Working Group on Margin Requirements (WGMR), an initiative jointly run by the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO), issued the final margin policy framework for non-cleared, bilateral derivatives. Individual regulatory authorities across jurisdictions are now developing national level margin rules consistent with the final WGMR framework.

The ISDA WGMR Implementation Initiative was developed to facilitate the implementation of the margin rules across jurisdictions.

A key component of the ISDA WGMR Implementation Initiative is the Standard Initial Margin Model (SIMM) project, which is focused on developing a common initial margin (IM) methodology that can be used by market participants globally.  Unlike the calculation of variation margin, which is based on day-to-day valuation changes that are often directly observable, initial margin in large part depends on the choice of model and the assumptions used. Under the framework set by the WGMR, firms can use their own internal models to calculate initial margin, as long as they meet certain criteria and obtain regulatory approval. These models have the potential to differ significantly, raising the possibility that counterparties will arrive at a different initial margin figure for the same trade. The result would be a surge in the number of disputes – and no obvious way currently in place to quickly resolve them. The ISDA SIMM provides an open, transparent, standard methodology that will be available to all.

In addition to the ISDA model development workstream, several ISDA WGMR implementation workstreams were formed to address all areas necessary for broad market compliance with new rules for both IM and variation margin (VM), including portfolio integrity, collateral management process changes, data, dispute resolution, and new legal documentation to govern collateral and segregation relationships.  The ISDA WGMR Oversight Committee coordinates the work of all the above workstreams.


DateTitle / DescriptionDocuments
February 14, 2017
Creating a New CSA under English Law: ISDA and IHS Markit Tutorial Series
ISDA and IHS Markit have collaborated to bring together a three part pre-recorded tutorial series to show you how you can create a new CSA under English Law. The tutorials will explore: Defining the new CSA; ISDA Amend demonstration - specific customer use case; and How the exhibit to the protocol is used to create a New CSA. Click here to view the tutorial series.
February 9, 2017
Creating a New CSA under New York Law: ISDA and IHS Markit Tutorial Series
ISDA and IHS Markit have collaborated to bring together a three part pre-recorded tutorial series to show you how you can create a new CSA under NY Law. The tutorials will explore: The New CSA being created; ISDA Amend - demo using a specific customer use case; and How the exhibit to the protocol is used to create a New CSA. Click here to view the tutorial series.
February 7, 2017
ISDA sends VM ‘Big Bang’ letter to regulators
ISDA, the Global Financial Markets Association, including its Global FX Division, the Investment Association, Financial Services Roundtable, the ABA Securities Association and the American Council of Life Insurers have sent a letter to global regulators asking for a six-month transition from March 1 to give market participants time to complete the necessary steps for compliance with new variation margin requirements.
February 2, 2017
aosphere and ISDA webinar on new Collateral Provider and Collateral Taker Insolvency Opinions
December 13, 2016
Getting Ready for the March 1, 2017 Variation Margin Requirements: What Steps Do I Need to Take? (Japanese language version)
ISDA has published a list of steps in Japanese language on how to get ready for the March 1 variation margin deadline.
ISDA Margin Fact sheet JP.pdf
December 8, 2016
ISDA publishes draft of ISDA SIMM documents

ISDA publishes documents related to ISDA’s proprietary Standard Initial Margin Model for non-cleared derivatives (ISDA SIMM).

Under the revised licensing program, any market participant will be able to license the ISDA SIMM™ to calculate initial margin for its own or its clients’ non-cleared derivatives transactions. Third-party vendors will also be able to license the ISDA SIMM™ for proprietary services or products. As part of the revised terms, an annual licensing fee will apply to all those who use the ISDA SIMM™. The licensing fees collected will cover annual maintenance and recalibration costs associated with the ISDA SIMM™ to ensure it continues to meet current and future regulatory standards. The licensing fee will be reviewed annually.

Please direct any questions regarding the ISDA SIMM™ licensing program to

SIMM  - From Principles to Model Specification_4 Mar 2016_v4 (PUBLIC).pdf IM Discussion Paper 20150615 - CLEAN - PUBLIC.pdf SIMM_CrossCurrencySwap_Treatment_12 May 2016 (PUBLIC).pdf ISDA SIMM Governance Framework_25 July 2016 (PUBLIC).pdf ISDA SIMM FAQ_27 July 2016 (PUBLIC).pdf ISDA WGMR Workstream Summaries_ April 2016_public.pdf ISDA SIMM Crowdsourcing Utility _User Guidelines_24 August 2016_v13 2_(PUBLIC).pdf ISDA_SIMM_vR1.0_(PUBLIC).pdf Risk Data Standards_v1.27 (PUBLIC).pdf ISDA SIMM Methodology_vR1.2_v2 (PUBLIC).pdf ISDA SIMM vR1.1 (PUBLIC).pdf
December 8, 2016
Video 3: How to Prepare for the VM Big Bang
Mark New, Senior Counsel for the Americas at ISDA, describes the tools available to help firms prepare for the variation margin requirements. Click here to view the third video
December 7, 2016
Video 2: What are the Variation Margin Rules?
ISDA’s Chairman Eric Litvack outlines the variation margin requirements and highlights the need for firms to start preparing now. Click here to view the second video
December 6, 2016
Video 1: Overview of the Margin Rules
ISDA’s CEO Scott O\'Malia explains the implementation timeline for the new margining requirements for non-cleared derivatives. Click here to view the first video
December 1, 2016
ISDA Amend Webcast: Launch of the Variation Margin Protocol
ISDA Amend 2.0 includes a new protocol to enable market participants adhere to the variation margin requirements under various legal jurisdictions. Following on from our overview of the Self-Disclosure Letter, the next step requires participants to amend Credit Support Annexes (CSAs) to address regulatory compliance. This joint webcast with Markit helps market participants prepare for the upcoming uncleared margins deadline.
ISDA Amend 2.0 – Variation Modular Protocol-20161201 1451-1.mp4 ISDA Amend 2 0_webcast_Dec 01 2016 FINAL2 updated.pdf