The new standardized approach to counterparty credit risk (SA-CCR) comes into effect for European banks in June.
It is designed to improve the risk sensitivity of CCR by differentiating between margined and unmargined, as well as bilateral and cleared, trades.
Under Basel Committee on Banking Supervision standards, a trade through a central counterparty clearing house (CCP) attracts a minimum lower margin period of risk of five days for client cleared trades and 10 days for house trades, compared with up to 20 days under bilateral trading.
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