Standardised approach to counterparty credit risk (SA-CCR)
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
Brexit OTC mutation, chaperones and SA-CCR
The week on Risk.net, October 6–12, 2018
SA-CCR proposal imminent, Fed adviser says
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Fed, Goldman: wide use of SA-CCR creates problems
Isda AGM: Fed plans quick implementation, while Goldman urges caution on extending use
Senate bill will not hurt big bank oversight – Powell
Fed chair says raising of Sifi threshold will not affect application of enhanced standards
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning