SA-CCR and Basel III Endgames: Implications for AIMs

The Standardised Approach for Counterparty Credit Risk (SA-CCR) and Basel III Endgames (aka Basel IV) are replacing or enhancing existing methodologies around the world for calculating counterparty credit risk, and by default the amount of capital required to be held by banks against those exposures. While the Basel III SA-CCR went live in January 2022, national regulators have since issued their rules and proposals for finalizing other areas including a more detailed calculation of Risk-Weighted Assets (RWA); this will entail much more punitive treatments in some cases of unrated counterparties. Alternative Investment Managers (AIMs) should know the outlines of the new rules and how it may impact their business models.

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