Simm casts off Covid pain for $40 billion IM reprieve
Recalibration cuts risk weights in equity and commodities, but some credit exposures double on ABX halt
At least $40 billion of collateral held against non-cleared derivatives trades could be freed up in December, when the latest recalibration of Isda’s standard initial margin model, or Simm, casts off a period of extreme volatility relating to the 2020 Covid pandemic.
Version 2.7 of Simm, which is set to go live on December 7, sees delta risk weights substantially lowered across three of the six risk classes, though ‘non-qualifying’ credit, which represents complex securitisations, will see risk
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