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
- Quant Finance Master’s Guide 2019
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Cross-currency swaps could hasten RFR shift in Australia
- Podcast: Kenyon and Berrahoui on the pitfalls of PFE
- EU parliament OKs no-action powers but leaked doc signals delay