
UK regulator quizzes banks on margin gaps
Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge

The UK’s prudential regulator has instructed banks to submit data on risks not covered by the model they use for calculating initial margin under the non-cleared margin rules. The request may be a precursor to additional capital requirements.
The initial margin that banks post for non-cleared derivatives is based on the industry-developed standard initial margin model (Simm), which takes inputs for a range of risks but does not cover certain foreign exchange instruments, for example. The Simm
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Derivatives
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs
Risk Awards 2023: The winners
BNP Paribas takes top derivatives prize, lifetime award for Stephen Kealhofer, Nomura wins rates
It’s not easy being green: why the FX market is lagging on ESG
And what’s being done to fix it
Stick to the fax? Isda seeks to revamp close-out notice methods
Plans to update termination notice provisions still won’t quite pull the plug on use of fax machines
Credit Suisse shakes up top line in new-look FX division
Swiss bank draws on electronic macro business for FX leadership roles
Treasury traders remain wary about adopting algos
Yet proponents insist US government bond market is ‘ready for disruption’
Hedge funds push yen options bets to next BoJ meeting
Target shifts as vol punts on change to rates policy fall flat
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders