Thanks a lot Bearish! I see that in equation (12) it is the intergral as you helpfully pointed out. However, if you compare the equations for unmargined (15) vs margined (19) transaction add-ons they both have this term so this cancels out when comparing the two. But equation (20) has the term 3/2 ...

The BCBS SA-CCR results in different add-ons for trades that have the same “margin period of risk” but where one is an unmargined trade with a maturity of 10 days while the other one is daily margined ie it has a 10 day margin period of risk. The SA-CCR floors the maturity for unmargined derivative...

Bitcoin rests on decentralised verification of transactions. To get people to spend money on electricity to verify transactions they are sometimes given a newly produced bitcoin (known as mining). But the maximum number of bitcoins is fixed. Then, what is the incentive to  verify transactions once ...

Why is there a risk premium on the floating rate necessarily and not potentially on the fixed rate? I know the fixed rate is fixed so it is known with certainty but does not the risk concept arise when you compare both sides of the balance sheet? So for a household a fixed rate mortgage is not nece...

Not too familiar but there are FAQs on the SA-CCR that deals with similar issues (see Q11). I am sure that similar FAQs exist for FRTB or are in the process of being produced by BCBS. If you have unanswered questions that needs clarification you should contact your local supervisor or the  BCBS. HT...

The way I understand the application of the block chain technology in most financial applications is that it would rest not on an open ledger to all but simply an open ledger to those verifying the transactions, in this case the banks that utilise the technology. So it would be semi-centralised as ...

<t>QuoteOriginally posted by: rmaxXCCY Swap can be a rolling/restting type and that will have multiple exchanges.Thanks max. But for a resetting swap as I understand it you would only exchange principal to extinguish any mark-to-market but not the full notional amount. Further, what would the econom...

Thank you BigAndyD! That is what Triennial Central Bank Survey of Foreign Exchange and OTC Derivatives Market Activity (page 5 in document) suggests. But I would really appreciate some input on what types of derivatives this is as I need to explain the contract type

<t>The BCBS SA-CCR (and its predecessor CEM) has a wording referring to a type of derivative that I cannot think of any example of. It is para158 bullet 5: Quote?For a derivative contract with multiple exchanges of principal, the notional is multiplied by the number of exchanges of principal in the ...

<t>QuoteOriginally posted by: OrbitQuoteOriginally posted by: DavidJNHow much would you be inclined to pay for a non-interest bearing perpetual bond?In what currency? Confederate dollars? Zim? USD? Just kidding, they're all the same.Zero. With extreme prejudice.The value should be par if rates stay ...

<t>Fair point. I guess par if rates stay at zero forever. Otherwise less than par... But the bond is irrelevant because the whole point is for the central bank to print money for the government in return for nothing. The bond just serves the purpose of not making the central bank bankrupt. Without i...

<t>I always thought helicopter money was a fool-proof way of increasing nominal purchasing power and reviving inflation. But Claudio Borio (chief economist at BIS) made a case against it. I have tried to summarise my understanding of his argument. I would very much appreciate if people have any reac...

<t>I am trying to understand if it is better from a financial stability perspective if banks in a small currency area (eg AUD) hold liquidity buffers in FX eg USD/EUR than in their domestic currency to handle liquidity risks in domestic currency. The Basel LCR rules text discourages from that althou...

<t>Why do European banks want to issue structured notes in the form of callable bonds in USD? Under the FSB?s proposed Total Loss Absorbing Capacity (TLAC) these bonds are not eligible as TLAC because they have an embedded derivative and banks are now concerned that TLAC requirements will prevent th...