Banks scent margin offset in US SA-CCR proposal

US Federal Reserve building — Federal Reserve

Joanna Wright
06 Nov 2018

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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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