SA-CCR to lift counterparty risk capital charge by 27% – Basel

Implementation of the new standardised approach to counterparty credit risk (SA-CCR) will hike minimum capital requirements by over one-quarter, with global systemically important banks (G-Sibs) likely to see charges climb the most.

The latest Basel III monitoring report found that on average, G-Sibs are estimated to see their CCR charges increase 27.2% relative to current levels under fully-loaded SA-CCR rules. One too-big-to-fail firm, though, is projected to swallow a maximum increase of 118

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