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What's New in ISDA SIMM Version 2.8+2506?

ISDA has published the ISDA SIMM® Methodology, version 2.8+2506, which is effective from December 6, 2025.

This release updates the calibration of the main delta risk weights and related parameters using market data up to June 30, 2025, following the latest industry backtesting of the methodology. It represents the second semiannual calibration under ISDA's new twice-yearly update cycle introduced in 2025.

New Version Naming Explained

  • 2.8: the SIMM methodology version.
  • +2506: calibration based on market data through June 2025.

This transparent naming convention continues the structure first used in 2024, making it easier to distinguish methodology updates from calibration refreshes within the same SIMM version.

Bottom line: ISDA SIMM 2.8+2506 is a regular calibration update reflecting the most recent market conditions and backtesting results, ensuring the model remains risk-sensitive and aligned with current volatility and correlation patterns.

ISDA SIMM 2.8+2506 vs 2.7+2412: What's Changed?

Developed by Cumulus9, this tool highlights the quantitative impact of SIMM parameter changes across all asset classes. Use the dropdown menu to explore results by risk type, and interact with the charts and tables to analyze how the new calibration affects your margin requirements.

Interest rate risk weights show slight upward adjustments at the short end (2w-1m) and minor declines beyond 6m, suggesting a modest steepening of the volatility term structure. Low-volatility tenors are mixed but generally lower from 1y onward, while high-volatility tenors increase through 1y-5y, indicating higher sensitivity in medium tenors. Same-bucket correlations fall marginally across most maturities (by 1-3%), reducing diversification, while cross-curve correlations (inflation/yield and ccbs/yield) improve, implying slightly offsetting effects. The historical volatility ratio declines to 0.74 (from 0.75), pointing to a small normalization in rate volatility. Concentration thresholds remain unchanged, and overall IR margins are broadly stable with mild directional tightening in the mid-curve.
  • The inflation risk weight rate is updated to 51 from 52
  • The cross-currency basis swap spread risk weight is updated to 21 from 22
  • The vega risk weight is updated to 0.2 from 0.21
  • The historical volatility ratio is updated to 0.74 from 0.75
Correlation within the same currency between different tenors
2w1m3m6m1y2y3y5y10y15y20y
2w
0
+0.01
+0.02
+0.01
+0.01
+0.01
+0.01
0
-0.01
-0.02
1m
0
+0.01
+0.02
+0.01
+0.01
+0.01
+0.01
0
+0.01
0
3m
+0.01
+0.01
+0.01
+0.01
+0.01
+0.01
+0.02
+0.01
0
+0.01
6m
+0.02
+0.02
+0.01
0
0
0
0
+0.01
+0.01
+0.02
1y
+0.01
+0.01
+0.01
0
0
-0.01
0
0
+0.01
+0.01
2y
+0.01
+0.01
+0.01
0
0
0
0
+0.01
+0.01
+0.01
3y
+0.01
+0.01
+0.01
0
-0.01
0
0
0
0
+0.01
5y
+0.01
+0.01
+0.02
0
0
0
0
0
0
+0.01
10y
0
0
+0.01
+0.01
0
+0.01
0
0
0
0
15y
-0.01
+0.01
0
+0.01
+0.01
+0.01
0
0
0
0
20y
-0.02
0
+0.01
+0.02
+0.01
+0.01
+0.01
+0.01
0
0
  • Between any two sub-curves is updated to 0.981 from 0.983
  • Between the inflation rate and any yield is updated to 0.42 from 0.37
  • Between the cross-currency basis swap spread and any yield or inflation rate is updated to -0.01 from -0.05
  • Between different currencies is updated to 0.35 from 0.34
Tenorv2.8+2506v2.7+2412.1Change
High volatility51m51m0m
Regular volatility (well-traded)210m210m0m
Regular volatility (less-traded)100m100m0m
Low volatility230m230m0m

Key Highlights by Risk Class

The updates in ISDA SIMM version 2.8+2511 continue the regular semiannual calibration process, incorporating recent market behavior into the margin framework. Overall, adjustments are modest but directionally meaningful across risk classes. In Interest Rate risk, short-tenor delta weights increase slightly while correlations decline marginally across the curve, leading to higher short-end margin; improved cross-currency and inflation correlations partly offset this effect. FX risk weights fall across all pair categories, reflecting lower volatility, though a significantly expanded high-volatility currency group raises sensitivity for emerging-market exposures. Credit Qualifying risk shows mixed changes—delta weights are largely stable but vega weights rise and cross-bucket correlations weaken, reducing diversification and lifting margin for spread volatility. Credit Non-Qualifying remains stable in weights and thresholds but benefits from stronger intra- and inter-bucket correlations, improving diversification and keeping margin neutral to slightly lower. Equity risk weights are mostly unchanged, with slightly lower vega factors and reduced historical volatility, resulting in marginally lower overall margin. Commodity exposures stay steady except for notable increases in energy-related buckets such as Coal and Natural Gas, which lift margins in those sectors. Cross-risk correlations shift only slightly—with a modest strengthening between Interest Rate and Credit Qualifying and a mild reduction between Equity and Commodity indicating stable diversification at the portfolio level. Overall, SIMM 2.8+2511 delivers fine-tuned recalibrations that preserve model stability while modestly adjusting margin sensitivity to current volatility and correlation patterns.

Conclusion

As a licensed ISDA SIMM vendor, Cumulus9 is here to support you with advanced risk analytics and tailored insights into the latest SIMM methodology and calibration updates. Our expertise ensures you have the tools and information necessary to respond proactively to margin changes. Contact us to discover how our solutions can help you optimize risk management in today's shifting market landscape.

Get in touch to find out more about Cumulus9.