Swap futures face loss of capital edge
SA-CCR likely to treat swaps and swap futures equally, says Barclays' Kahn
Swap futures will lose one of the advantages they enjoy over competing over-the-counter products if regulators go ahead with plans to revamp the measurement of exposure in the leverage ratio, a decision some market participants are expecting to be made early next year.
As things stand, the Basel III leverage ratio has limited impact on interest rate futures but is more punitive for swaps – a consequence of the 27-year-old current exposure method (CEM) that plays a key role in determining
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