After coronavirus rout, concerns raised about Simm
Annual re-calibration means March volatility will not be reflected in margin until end-2021
As fears about the market impact of the coronavirus intensified in March, central counterparties (CCPs) rushed to hike margin for cleared swaps. At the height of the tumult, one corner of the derivatives market was a picture of relative calm: collateral requirements for non-cleared trades barely flinched.
The muted response to the wildest market swings in more than a decade is raising concerns about the industry-developed standard initial margin model (Simm). The model is recalibrated annually
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