SACCR Multipliers, Initial Margin and KCCP

KCCP defines the amount of capital that must be held versus default fund contributions at a CCP. The lower the value of KCCP, the lower the overall cost of clearing. The SACCR multiplier used to calculate KCCP suggests that KCCP reduces for every extra dollar of Initial Margin posted at a CCP. We look at […]

SACCR vs CEM for FX Products

Blame our active community of readers if you must. But we’ve had the most requests for a comparison of FX products under SACCR and CEM in response to my original blog. Therefore, here we go… SACCR is Coming If you need a refresher on SACCR and CEM, then please check out our comprehensive coverage below: […]

SACCR vs CEM Comparisons

Welcome to my 250th blog for Clarus! That is quite a milestone – I’ve now inflicted nearly a quarter of a million words on our readers. I hope the vast majority have been useful. To celebrate, you will have to suffer a bit of true geekiness. Today we’ll take a look at Regulatory Capital, which […]

SA-CCR for US Banks

The US is introducing SA-CCR to calculate derivatives exposures in 2020. We look at the consultation. We compare add-ons under SA-CCR and the old CEM methodologies. Clarus offer FREE TRIALS of SA-CCR for Excel. SA-CCR Consultation The Federal Reserve, OCC and FDIC have launched a joint consultation on SA-CCR, the Standardised Approach to Counterparty Credit […]

Current Exposure Methodology – What You Need To Know

The Current Exposure Methodology is a key part of Leverage Ratio calculations. It dates back to the late 1980s and the first Basel accords on banking capital. CEM calculates the Potential Future Exposure of a derivative trade using a look-up table based on Asset Class and Maturity. CEM is a very simple, notional-based measure of […]

SA-CCR Calculator

SA-CCR for Excel calculates the Standardised Approach for Credit Risk Use it to reconcile your calculations Or assess the impact of moving to SA-CCR And perform pre-trade what-if analysis Free 14-day trials are available for all financial firms. Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty […]

Capital requirements for exposures to CCPs

Following on from my article SA-CCR: Standardised Approach Counterparty Credit Risk, I wanted to look at the related topic of Capital requirements for Cleared Swaps and get a sense of the size of these requirements. Background In March 2014, the Basel Committee on Banking Supervision (BCBS) published it’s Standardised Approach (SA-CCR) for measuring exposure at default […]

SA-CCR: Standardised Approach Counterparty Credit Risk

On 1 January 2017, the Standardised approach for measuring counterparty credit risk exposures (SA-CCR) will take effect. SA-CCR is required for Credit Risk Capital, as well as Exposures to CCPs and the Leverage Ratio. It is particularly important for Derivatives as it provides for improved netting benefit and recognition of margin for both cleared and bi-lateral […]