Are you ready for the Standardized Approach for Counterparty Credit Risk (SA-CCR)?
In March 2014, the Basel Committee on Banking Supervision (BCBS) published a consultation paper on the revised standardised approach for measuring counterparty credit risk (SA-CCR). The new calculation approach is part of the Basel III post-crisis reforms.
It aims to improve on existing non-modelled methodologies for assessing the counterparty credit risk associated with derivative transactions and to simplify the framework by narrowing the range of methodologies available to banks in measuring their counterparty credit risk exposures.
SA-CCR replaces the existing standardised approaches – Current Exposure Method and Standardised Method – and its entry into force is due in June 2021.
Time is running out to implement the changes! Our regulatory reporting experts are ready to calculate the capital requirements of your investment funds under the new CRR II rules.