US regulator casts doubt on key SA-CCR netting benefit

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The US Office of the Comptroller of the Currency appears set to dash hopes that incoming capital accounting rules will allow for more efficient netting of certain cleared client trades – a further blow to banks, who fear the new framework will result in a rise in counterparty credit risk capital.

Banks had called for clarity on a key provision in the US version of the standardised approach to counterparty credit risk (SA-CCR), which allows transactions that are settled-to-market (STM) to be

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