US gives sweet SA-CCR relief

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By Ross Lancaster
30 Mar 2020

US market participants’ can now use their preferred method of calculating counterparty credit risk (CCR) for derivatives, after US regulators brought the adoption of SA-CCR forward.

The notional-based method of calculating derivatives exposure, which the Current Exposure Method (CEM) used to work out CCR, came under scrutiny after causing headaches during March’s volatility. It was due to be used until Wednesday.

CEM’s problems were pronounced in options markets, where European market makers

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