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Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio

The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn

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Morgan Stanley plans an early switch to the standardised approach to counterparty credit risk (SA-CCR) in the fourth quarter of the year, a move expected to cost the bank 120 basis points of core capital adequacy without remedial actions.

The bank announced its intention to adopt SA-CCR during its quarterly earnings on October 14. US regulators allow banks to implement SA-CCR early, ahead of a US Federal Reserve deadline of January 1, 2022.

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