Netting no problem for blockchain, tech firms tell regulators

If complex markets such as non-cleared derivatives were to adopt DLT, in practice it is likely netting would still be carried out end-of-day, thinks Dominic O'Kane, an affiliated professor of finance at EDHEC Business School, specialising in derivatives pricing and risk management. “If collateral posting for variation and initial margin is daily, then the net bilateral exposures need only be calculated once each day, usually at close of business. If the question is about trade compression, then that can be done multilaterally at fixed periods by some third party, and would spawn a batch of unwind transactions that would then be included in the ledger.”

Author(s) :

Luke Clancy

If complex markets such as non-cleared derivatives were to adopt DLT, in practice it is likely netting would still be carried out end-of-day, thinks Dominic O'Kane, an affiliated professor of finance at EDHEC Business School, specialising in derivatives pricing and risk management. “If collateral posting for variation and initial margin is daily, then the net bilateral exposures need only be calculated once each day, usually at close of business. If the question is about trade compression, then that can be done multilaterally at fixed periods by some third party, and would spawn a batch of unwind transactions that would then be included in the ledger.”

Type : Press article
Date : le 09/05/2017
Source : Incisive Risk Information (IP) Limited

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