US regulators’ proposal on measuring counterparty credit exposures in derivatives transactions, released on October 20, included a titbit the biggest banks had been watching for with almost feral interest – the possibility of offsetting client margin on cleared trades from their leverage ratio calculations.
The proposal, which very closely follows the Basel standardised approach for counterparty credit risk (SA-CCR), held out at least the possibility of an initial margin (IM) offset in the
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