Banks will only be allowed to reduce derivatives exposure with cash variation margin under the final Basel leverage ratio rules if it is in the same currency as the underlying swap. This, they claim, is a ridiculous hurdle, as it will force them to restructure their existing collateral agreements.
The rule could also deal a blow to the new standard credit support annex (SCSA).
"The restriction to same-currency variation margin seems to be another nod in favour of central clearing, but it's hard
The week on Risk.net, October 6-12, 2017Receive this by email