SA-CCR’s sacrifice: who stands to lose from new capital rules research shows the potential for dealers to be left at a disadvantage to their foreign rivals

The Great Schism split the Christian church almost a thousand years ago – and the two factions are yet to reconcile. A modern-day rift in global rules for calculating derivatives capital requirements may not be so long-lasting, but for banks and regulators it could prove just as divisive.

The battleground is the standardised approach to counterparty credit risk, or SA-CCR, the Basel Committee on Banking Supervision’s regime for capitalising the default risk of a derivatives counterparty.


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