The implementation of the SA-CCR has significant implications for the way that banks run their swaps trading businesses. A holistic approach to assessing counterparty credit risk is required to replace the existing focus on gross notional, resulting in a totally different approach for calculating how much capital needs to be held. This means that banks need ways to reduce their counterparty exposure to maintain profitability and remain competitive.
Our panel of experts consider the SA-CCR regulations and what they mean for participants in the OTC derivatives market, and take a closer look at the solutions available for proactive optimisation.