SA-CCR switch cuts leverage of two Japanese banks

Japanese banks Norinchukin and Nomura have switched to a new system for calculating counterparty risks, which cut trillions of yen from their leverage exposures. The effects on risk-based capital, however, were different for each. 

The two banks adopted the Basel Committee-mandated standardised approach for measuring counterparty credit risk (SA-CCR) in the first quarter of this year.  

The change resulted in huge decreases to each bank’s leverage exposure. Derivatives contributed ¥8.2

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