Standardised approach to counterparty credit risk (SA-CCR)
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
Systemic US banks’ leverage exposures shrank $1.4tn in Q2
On-balance sheet exposures fall on Fed relief
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Leverage ratio squeeze hits options trades
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
Leaked EU document casts doubt on leverage ratio relief
Several MEPs oppose leverage exemption for sovereign bonds, but some want SA-CCR fast-tracked
SA-CCR to lift counterparty risk capital charge by 27% – Basel
Systemic dealers face biggest spike in required capital of surveyed banks
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