Standardised approach to counterparty credit risk (SA-CCR)
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
State Street and Northern Trust offload riskless assets in Q3
Combined $40bn plunge sees both banks hit four-year lows
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
Can CCPs provide a port in a storm for securities lending?
Basel III, T+1 and EquiLend scandal all incentivise clearing, but also disintermediation
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
US Basel endgame hits clearing with op risk capital charges
Dealers also fret about unlevel playing field compared with requirements in the EU
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
US banks eye collateralisation to tackle SA-CCR costs
Dealers are asking asset managers to post margin on their FX swaps and forwards to offer more competitive prices
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
SA-CCR lobs $3.6bn onto DBS’s RWAs
New approach’s 1.4x multiplier meant capital charges for derivatives surged last year
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
FX Smart Clearing at LCH ForexClear: solving SA-CCR capital challenges
LCH ForexClear explores how, with the standardised approach to counterparty credit risk increasing the capital requirements of banks’ FX portfolios, its FX Smart Clearing solution can reduce capital burden and achieve additional savings for members
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs
SA-CCR gives RBC a chance to prove its worth
RBC attempts to entice buy-side clients with aggressive FX forwards pricing strategy
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Equity swap clearing: LSEG aims to sway naysayers
Initial margin, SA-CCR and Archegos fuel comeback of total return swap clearing, but scepticism remains
Addressing SA-CCR capital challenges with FX clearing
Since the implementation of the standardised approach to counterparty credit risk (SA-CCR) in June 2021, the foreign exchange industry has struggled to cope with the sharp increases in capital requirements for FX products. James Shanahan, director,…
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
FX market weighs viability of spot clearing
Supporters believe it could remove credit risks, but others say it would be unnecessary and add costs
Counterparty credit risk: special report 2022
This Risk.net special report contains a collection of articles that consider the impact of SA-CCR and how banks are adapting to the new regime, as well as the challenges of managing counterparty credit risk and reducing the cost of trading over-the…