Standardised approach to counterparty credit risk (SA-CCR)
SA-CCR, IM relief and the fuzziness of good behaviour
The week on Risk.net, February 15–21, 2020
SA-CCR barely dents Commonwealth Bank’s capital ratio
Twelve basis point hit to CET1 capital ratio exceeds 7bp estimate
BNP leads a comeback for Europe’s clearers
Brexit, leverage ratio tweaks and concentration fears could help European banks compete with US FCMs
US sidetracks bid to end European CVA exemption
Fed’s change to SA-CCR capital renews EU industry calls to preserve carve-out
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Op risk charges weigh on ANZ
RBNZ model ban and Apra op risk overlay push RWAs higher
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
SA-CCR switch cuts leverage of two Japanese banks
Leverage exposures for Nomura and Norinchukin fall ¥4.7 trillion in aggregate
Basel closes in on IM offset for leverage ratio
US seen as obstacle to consensus; committee expected to allow netting of margin against PFE only
Whose leverage ratio is it anyway?
Basel's capital backstop has been distorted out of shape by supervisory meddling
Most Basel members have yet to adopt TLAC
Many countries also behind on implementing SA-CCR, NSFR, securitisation framework
SA-CCR may need more fundamental fixes
Quants propose tweaks to improve Basel counterparty credit risk framework
Revisiting SA-CCR
Berrahoui, Islah and Kenyon propose an alternative to SA-CCR
Under SA-CCR, Nomura leverage exposure drops over ¥7 trillion
Methodology switch sends leverage ratio soaring to 5.04%
US swaps end-users cry foul over SA-CCR punch
Capital on non-margined trades jumps 90%, and energy firms face double hit
US version of SA-CCR could hurt settled-to-market swaps
Capital requirements on a client’s hedged options portfolio could increase by 1,100%
SA-CCR would dent US dealers’ leverage ratios – trade bodies
Goldman Sachs, Morgan Stanley and JP Morgan would likely see the largest leverage exposure spikes
Capital requirements for options are ‘crazy’ – DRW
Wilson says current rules penalise options, but SA-CCR does not go far enough to fix the problem
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Non-netting status denies capital boost for Chinese banks
Reliable close-out netting could cut China’s SA-CCR capital requirements by around 20%
For US banks, billions in regulatory manna
The unwind should help mid-tier banks, but the G-Sib impact is a complex balancing act
Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
Basel Committee names and shames regulatory laggards
Mexico, China, and US yet to implement key rule changes
Basel to propose IM offset in leverage ratio
Four sources say draft will make concession; it could also revive EU-US segregation drama