SA-CCR switch clouded by confusion over netting sets
An effort by US regulators to incentivise the switch to SA-CCR may be having the opposite effect
US banking regulators have been asked to clarify whether certain client cleared trades can be included in netting sets under the standardised approach to counterparty credit risk (SA-CCR). The answer could shift the calculus of banks that are currently weighing whether to adopt the regime early.
The confusion centres on last-minute changes to the US version of SA-CCR. The final rule adopted in January allows cleared transactions that are settled-to-market (STM) to be included in the same
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