Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
Nearly three years after it was finalised, market participants are calling on regulators to make changes to the Basel Committee’s standardised approach for measuring counterparty credit risk (SA-CCR), over concerns it could lead to a doubling of calculated exposures versus existing methodologies.
Banks argue that, since the framework is currently being considered as an input to a number of other regulatory requirements still under review, including the leverage ratio, it is time to revise the
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