Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
Collateral requirements for some non-cleared interest rate derivatives will jump by as much as 37% when the first off-cycle recalibration of the standard initial margin model (Simm) takes effect in July.
The International Swaps and Derivatives Association, which developed Simm, is updating the model to account for increased interest rate volatility in the final quarter of 2022.
The incoming version, Simm v2.5A, will feature higher risk weights for interest rate derivatives denominated in 14 so
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