Collateralised derivatives positions will be doubled in size under the revised leverage ratio published yesterday by the Basel Committee on Banking Supervision – a prospect that is already alarming traders who fear it could force a retreat from some business lines. The doubling effect occurs because banks are not allowed to set collateral against the size of their derivatives assets and the collateral itself also has to be counted as part of an institution's total exposure.
"Currently, our deriv
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data