FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
More often than not, when describing an upcoming regulatory framework, the accompanying illustration is something along the lines of a set of strings twisted together, entangling everything they encounter in their path.
But in the case of the standardised approach to counterparty credit risk (SA-CCR), the image more likely to spring to mind would be a pair of scissors cutting those strings off, or someone untangling the mess.
The new framework replaces the existing counterparty credit risk
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 print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Our take
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Podcast: Piterbarg and Nowaczyk on running better backtests
Quants discuss new way to extract independent samples from correlated datasets
Should trend followers lower their horizons?
August’s volatility blip benefited hedge funds that use short-term trend signals
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
Can pod shops channel ‘organisational alpha’?
The tension between a firm and its managers can drag on returns. So far, there’s no perfect fix
CDS market revamp aims to fix the (de)faults
Proposed makeover for determinations committees tackles concerns over conflicts of interest
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Are regulators wrong to think of AT1s as debt?
Bank capital bonds face criticism. One answer might be to treat them as ‘fixed-income equity’