Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
The standard industry template used to calculate margin requirements for non-cleared trades is being extended to a wider range of instruments in a bid to improve portfolio optimisation under incoming counterparty credit and market risk frameworks.
The International Swaps and Derivatives Association is working with core users of its standard initial margin model, or Simm, to create a beefed-up version of the common risk interchange format (Crif) it uses to capture the risk sensitives of in-scope
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