Capital requirements for options are ‘crazy’ – DRW
Wilson says current rules penalise options, but SA-CCR does not go far enough to fix the problem
A new approach to measuring counterparty risk in derivatives transactions proposed by US regulators doesn’t go far enough to lower capital requirements for options portfolios, according to Don Wilson, chief executive of Chicago-based proprietary trading firm DRW Trading.
Wilson said the standardised approach to counterparty credit risk (SA-CCR), which will be used to calculate capital requirements for derivatives exposures, was a step up from its predecessor, the 30-year old current exposure
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