Estimate ISDA SIMM initial margin
from a CRIF file.

What this tool does, plainly

You paste a file describing the sensitivities of your derivatives book — how much value the book gains or loses for small moves in interest rates, FX rates, and their volatilities. The tool returns an estimate of the Initial Margin a bilateral counterparty would post against that book under the ISDA SIMM methodology.

SIMM is a Taylor expansion in disguise

Every derivatives portfolio's P&L can be approximately written as δ·Δx + ½γ·Δx² + ν·Δσ + … — first-order delta, second-order gamma, vega for vol moves. That's a Taylor expansion of the pricing function around current market levels.

SIMM does the same thing, but the regulator pre-specifies the shock sizes (Δx and Δσ) and tells you exactly which sensitivities to compute. Then it sums them with a published correlation matrix to get the worst-case 99th-percentile loss over a 10-day horizon. That's your IM.

The five things SIMM cares about

Delta — sensitivity to a 1bp move in rates or 1% move in FX. The first derivative of P&L.

Vega — sensitivity to a 1-unit move in implied volatility. Only relevant if your book has options.

Curvature — second-order correction for the convexity that delta misses on options. Computed from vegas, not separately reported.

Risk weights — the regulator-prescribed shock size, by tenor and currency, in basis points. For USD 5y the shock is 61bp. For JPY 5y it's 25bp. Calibrated semiannually.

Correlations — how much offset you get between sensitivities. USD 5y and USD 10y rates are 96% correlated. USD rates and FX are 10% correlated. Etc.

What CRIF is

The Common Risk Interchange Format is the ISDA-prescribed CSV format for SIMM inputs. Each row is one sensitivity. Columns this tool reads: RiskType, Qualifier, Bucket, Label1 (tenor), Label2 (sub-curve), and AmountUSD.

Don't have one? Click Download CRIF template at the top, fill in your sensitivities in Excel, then paste the CSV body back here.

What's covered

v1: IR Delta, IR Vega, IR Curvature, FX Delta, FX Vega, FX Curvature with full bucket and currency aggregation. Concentration thresholds. Inflation and cross-currency basis as IR sub-factors.

Not yet: Credit (Qualifying / Non-Qualifying), Equity, Commodity. Base correlation. Add-ons. Multiplicative scales. Bilateral remediation.