Swaps CCPs hope to slash capital via margin change

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

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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

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