Swaps CCPs hope to slash capital via margin change

Treating margin as settlement could cut leverage – CME, Eurex, Ice, LCH.Clearnet all seeking approval

risk-0116-indepth-2-cost-management
Change could translate into big capital savings for bank members of central counterparties

Four derivatives clearing houses are seeking legal opinions regarding whether the daily payment of variation margin can be treated as the settlement of a cleared swap contract, a step that could translate into big capital savings for bank members of central counterparties (CCPs).

Under the leverage ratio, a contract that is settled daily is deemed to have a remaining maturity of a single day, translating into lower exposures and a drop in required capital by as much as 25%, according to one bank

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here