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Netting & Hedging** (Required data & process (Specific Capital Reg…
Netting & Hedging
**
Regulatory framework
Netting:
What are the netting rules i.e. different maturity buckets
Hedging
What are the hedging rules:
Different books i.e. exposure in different book
Excess hedge leg
Reg Capital: Current
Treatment of:
Netting
Hedging
Numbers
Quantify
Netting
Hedges
Discrepancies: areas where Reg is not applied correctly i.e. overstated or understated
Required data & process
Reg Cap workings: Xolani (Requested)
Specific Capital Reg requirements
Netting
Hedge
Look at CLN file VS protection bought. Review which exposure its hedging
Recon: Finance data VS Risk data