The Maturity Factor is a key variable in determining bank capital under SACCR. It varies according to the type of margining agreement (CSA) in place. It also varies according to the number and type of underlying derivatives within a netting set. We look at large netting sets, CSAs with hard to value derivatives and settled […]
SACCR is the Standardised Approach to Counterparty Credit Risk (CRE52 under the consolidated Basel capital framework). It covers calculations for Credit Risk Weighted Assets and exposures under the Leverage Ratio (known as the Supplemental Leverage Ratio, SLR, in the US). It will impact the amount of Tier 1 capital banks must hold. SACCR means that […]
