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 a
The week on Risk.net, September 8-14, 2018Receive this by email