Image
January 17, 2012

Why TriOptima will matter even more for uncleared trades

Useful piece from IFR on how the capital charges for uncleared trades are driven by portfolio size (see snippet below), and therefore why continuing to use TriOptima to tear-up trades will be even more important, as it will directly reduce capital charges. Full article here (free I think).

“For counterparty exposures subject to zero threshold CSAs, a dealer’s capital charges will be based on its 10-day value-at-risk exposure calculation for netting sets of less than 5,000 trades and the 20-day VAR exposure for sets of more than 5,000. This should encourage dealers to reduce their outstanding trades through compression – an incentive that also applies to trades within CCPs, which are subject to 2% capital risk weightings.”


Popular
Most Viewed

Image

Related Articles


June 30, 2022

SIMM Falls Short says PRA Letter to Banks




2 MIN



Risk Management


June 28, 2022

FMSB Statement of Good Practice on Trading Platform Disclosures




2 MIN



Regulation


June 20, 2022

Regulatory change and data fragmentation are key challenges for 85% of firms




2 MIN



Regulation