Japanese banks Norinchukin and Nomura have switched to a new system for calculating counterparty risks, which cut trillions of yen from their leverage exposures. The effects on risk-based capital, however, were different for each.
The two banks adopted the Basel Committee-mandated standardised approach for measuring counterparty credit risk (SA-CCR) in the first quarter of this year.
The change resulted in huge decreases to each bank’s leverage exposure. Derivatives contributed ¥8.2