CIBC’s escape from SA-CCR lowers capital charge
CIBC stopped using the standardised approach for counterparty credit risk (SA-CCR) to calculate capital requirements for the majority of its derivatives portfolio last quarter, after adopting the internal model method. The switch contributed to a 4% drop in its counterparty credit risk (CCR) capital requirement quarter-on-quarter.
As of end-April, CIBC used the SA-CCR to set C$34 million ($25 million) of its total CCR charge, down 95% from C$871 million three months prior.
The bank said the
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