

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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
Regulation
EU still undecided on how to implement minimum repo haircuts
Concerns over non-bank leverage may derail push to include haircuts in bank capital rules
Receive this by email