Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
US regulators’ proposal on measuring counterparty credit exposures in derivatives transactions, released on October 20, included a titbit the biggest banks had been watching for with almost feral interest – the possibility of offsetting client margin on cleared trades from their leverage ratio calculations.
The proposal, which very closely follows the Basel standardised approach for counterparty credit risk (SA-CCR), held out at least the possibility of an initial margin (IM) offset in the
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