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

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