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  • Going forward, banks will be faced with the strategic challenge to effectively manage capital for OTC derivatives under the new.
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    4 Foundations of the capital floor Foundations of the capital floor Credit risk: CR SA, Supervisory haircuts for credit risk mitigation Counterparty risk: SA-CCR CVA: SA-CVA, Basic-CVA or 100% of a bank’s counterparty credit risk capital requirement.

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  • 8 Basel IV: Calculating EAD according to the new standardizes approach for counterparty credit risk (SA-CCR) SA-CCR as part of the Basel IV package Banks play a major role in the global economy.
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    This definition is by far too close to Credit Risk definition, suggesting that CCR is a form of Credit Risk.

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  • the critical average RW (RWA/LR exposure) is 35,3%.
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    banks, as shown below: Industry Impacts' RWA Increase IMM to SA-CCR 122% GEM to SA-CCR 30% I This deck focuses on the following topics, which we have covered in our response to the NPR.

  • Nov 22, 2021 · Standardised approach (SA-CCR) EAD is to be calculated separately for each netting set.
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    • Assuming a RWA based Tier 1 requirement of 8,5% (minimum requirements + capital conservation buffer), the critical average RW (RWA/LR exposure) is 35,3%.

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