Goldman swaps assets drop $140bn after margin change

Move follows guidance from US regulators; no word from Goldman on capital impact

goldman-sachs-bank
Switch to STM means non-cleared swaps book is now 52 times bigger than cleared book in gross terms

Goldman Sachs has become the latest bank to start treating the margin on its cleared swaps as settlement of those trades, rather than as collateral – a minor change that can have a major effect on the size of a derivatives book. In Goldman’s case, its gross derivatives assets plunged by almost $140 billion between the second and third quarters.

The Federal Reserve issued guidance on the practice in August that was seen by US banks as an endorsement of the new approach. Some European banks had

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: