Standardised approach to counterparty credit risk (SA-CCR)
Internal model revamp adds €3.2bn to Commerz’s CCR RWAs in Q2
IMM update drove most of 37.8% increase in total CCR RWAs
ING takes €5.2bn RWA hit from SA-CCR and last of Trim
Regulatory inflation negates RWA decrease from better loan-book quality
SA-CCR to add up to £5bn to Lloyds’ RWAs
Further headwinds are expected to come from CRD IV implementation
Trim, SA-CCR weigh on Santander’s RWAs
Regulatory changes and model updates shave 24bp off the bank’s CET1 ratio
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
Central clearing rates for CDSs hit record high
A volatile 2020 pushed more single- and multi-name contracts to central counterparties
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
SA-CCR more a burden to Credit Suisse than UBS in 2020
At Credit Suisse, SA-CCR RWAs increased 134%
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Repair the leverage ratio, revive the repo market
Domestic currency government bonds and repo should be exempted, suggests former supervisor
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
US regulator casts doubt on key SA-CCR netting benefit
OCC rejects suggestion banks can net certain cleared client exposures; Fed stays silent
SA-CCR tweak could slash equity risk charge – research
Better calibration would cut equity options exposures in half, research finds
Capital buffers, contingent hedges and USD Libor
The week on Risk.net, November 28–December 4
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
SA-CCR switch clouded by confusion over netting sets
An effort by US regulators to incentivise the switch to SA-CCR may be having the opposite effect
UBS gears up for another tilt at clearing
Swiss bank makes senior hires and upgrades tech platform ahead of Brexit and leverage offset
Model tweaks, asset cull helped Credit Suisse cut RWAs in Q3
Model updates took Sfr 2.5 billion off its credit RWA total
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
Credit Suisse, UBS counterparty exposures ballooned in Q2
Risk-weighted assets lagged surge in EAD
The FX swaps client clearing comeback
Chatter about the service is picking up again, but significant hurdles remain
Top US banks’ counterparties’ credit quality deteriorated in Q2
At Citi, exposures with a PD of 10% to 100% increased 73% quarter on quarter