Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
A lack of historical trade data is frustrating efforts to bring non-cleared dividend swaps on to the standard initial margin model (Simm) – meaning these instruments will continue to generate punitive initial margin costs for the foreseeable future.
The International Swaps and Derivatives Association, which oversees the Simm, was expected to include dividend risk factors in its first-quarter updates to the model.
Those plans were shelved after the trade body encountered difficulties in
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