UBS saves Sfr295m in capital via swaps margin change

FDIC vice-chair has warned of hidden dangers in new approach

UBS
UBS: first bank to embrace new margining treatment

UBS has slashed capital for its cleared interest rate swaps by around Sfr295 million ($300 million), after applying a new approach to margining at the industry's biggest swaps clearing house, LCH. It is the first bank to have confirmed it is using the method, which treats daily margin payments as settlement of a trade, rather than as collateral. This reduces the maturity of a trade under the Basel III leverage ratio, with knock-on reductions in exposure and capital.

According to UBS's second-qua

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