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
Proposed changes to the way counterparty credit risk in derivatives is measured could result in a weighted average three-basis point decrease in the supplementary leverage ratios (SLR) of nine large US banks, according to trade bodies. Risk Quantum analysis suggests that Goldman Sachs, Morgan Stanley and JP Morgan will likely see the sharpest falls.
The standardised approach to counterparty credit risk (SA-CCR) obliges banks to calculate their derivatives exposures by applying an ‘alpha factor’
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