Margin costs leap on Simm rejig and rates hikes

Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden

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Initial margin requirements generated by the industry’s standard model jumped by as much as a third when new stress scenarios and higher volatilities were captured in last year’s annual recalibration, according to analysis from margin vendor Acadia. Some say the upwards trend is set to continue in forthcoming updates, posing a headache for hundreds of buy-side firms that may have been hoping to sidestep the requirements.

Analysis of 215 firms caught in the first four waves of initial margin

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