SA-CCR lobs $3.6bn onto DBS’s RWAs
New approach’s 1.4x multiplier meant capital charges for derivatives surged last year despite fall in exposure indicators
DBS Bank saw counterparty credit risk-weighted assets (RWAs) on derivatives increase by 54% or S$3.6 billion ($2.7 billion) in 2022, as the switch to new standardised risk-weight formulas took effect.
The standardised approach to counterparty credit risk (SA-CCR), which Singaporean banks had to adopt at the start of 2022, uses the same two indicators as its predecessor to compute derivatives’ exposure at default (EAD) – but augments them with a 1.4x multiplier. The two indicators are
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Op risk hits all-time highs at three Nordic banks
Regular updates drive record rises at Handelsbanken, Nordea
One-tenth of US banks exceed CRE concentration thresholds
US supervisors face operational challenge with constellation of 536 lenders above risk benchmarks at end-2023
Northern Trust buys $2.4bn of US Treasuries as rate-cut prospects rise
Additions to the 5–10 year portion of AFS book have been, for now, swapped to SOFR
State Street loads up on short-term borrowing as rates spike
Funding rejig comes amid surge in deposits
AOCI worsens across the board at US banks in Q1
JP Morgan, Wells Fargo and Citi hit hardest in trend reversal
BofA, PNC lead Q1 rise in non-performing CRE loans
Commercial real estate write-offs also increased, driven by office loans
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
HSBC, Intesa incorporate 2022–23 downturn into SVAR models
Turbulent past two years implied to be worse than GFC in stressed simulations
Most read
- Revealed: the three EU banks applying for IMA approval
- Industry urges focus on initial margin instead of intraday VM
- Top 10 operational risks for 2024