Margin for non-cleared European energy trades to jump 80%

Annual recalibration of Simm could catapult some energy firms over relief thresholds

Simm-risk-weights-spike montage

Initial margin requirements for non-cleared European energy derivatives are set to jump by as much 80% when the latest update to the industry’s standard IM model (Simm) becomes effective on December 5.

The annual recalibration of Simm, completed in September using full-year 2021 data, resulted in risk weights for European natural gas contracts being reset at 40, up from 22, while European power and carbon contracts were assigned risk weights of 44, up from 24 in the previous version.


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