SA-CCR lobs $3.6bn onto DBS’s RWAs
New approach’s 1.4x multiplier meant capital charges for derivatives surged last year
DBS Bank saw counterparty credit risk-weighted assets (RWAs) on derivatives increase by 54% or S$3.6 billion ($2.7 billion) in 2022, as the switch to new standardised risk-weight formulas took effect.
The standardised approach to counterparty credit risk (SA-CCR), which Singaporean banks had to adopt at the start of 2022, uses the same two indicators as its predecessor to compute derivatives’ exposure at default (EAD) – but augments them with a 1.4x multiplier. The two indicators are
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