Respondents to the Acuiti study generally welcomed the move to a more risk sensitive methodology. The US and UK will bring in SA-CCR in January 2022, although in the US firms have the option of adopting it prior to that date. SA-CCR is now live in several jurisdictions including the EU, where it came into force last month. The new framework will replace the existing non-internal model approaches – the Current Exposure Method (CEM) and the Standardised Method (SM) – and is designed to be a more risk-sensitive framework for measuring capital exposures relating to derivatives trades. SA-CCR, or the Standardised Approach for measuring Counterparty Credit Risk, is the new framework for assessing capital requirements relating to counterparty risk for banks with derivatives exposures. The study, which was commissioned by multilateral optimisation provider, Quantile, was based on a survey and series of interviews with over 40 banks and financial intermediaries, and found that 82% of respondents, including all of those based in the EU, were concerned about the different timelines and approaches from regulators when it came to implementing SA-CCR. London – 22 July 2021: Over 80% of senior derivatives executives from global banks are concerned that differing approaches to the implementation of SA-CCR will create an unlevel playing field, a study by Acuiti has found. Acuiti study finds capital costs for corporates, pension funds and some asset managers set to soar under new derivatives capital rules
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