US regulators have issued a Notice of Proposed Rulemaking (NPR) for the Standardized Approach for measuring counterparty credit risk” (SA-CCR) in derivatives contracts. This long-awaited proposal shows that US regulators are “recalibrating” from some of the damage that Basel III has caused, especially for cleared products. This article looks at one part of the SA-CCR: how collateral is treated in the proposal and what impacts that will have on banks and counterparties.
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