UK regulator quizzes banks on margin gaps

Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge

margin-models

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: