SA-CCR proves a bitter pill for US banks to swallow

Dealers concerned new regime will punish some business lines with rise in risk-weighted assets

Midway through a rollercoaster year for US banks, a senior executive at one of the nation’s largest gets a call from their supervisor. Why hasn’t the bank replaced the old capital regime for counterparty credit risk with its new version, the supervisor asks. After all, the bank has had several months to do so.

Despite the US Federal Reserve allowing banks to apply the standardised approach to counterparty credit risk (SA-CCR) from the end of March – a quarter earlier than expected, as part of a