Search results
5 cze 2020 · The Standardised Approach for Counterparty Credit Risk (SA-CCR) applies to over-the-counter (OTC) derivatives, exchange-traded derivatives and long settlement transactions. Banks that do not have approval to apply the internal model method (IMM) for the relevant transactions must use SA-CCR, as set out in this chapter.
- PDF Version
PDF Version - CRE52 - Standardised approach to counterparty...
- View Changes
View Changes - CRE52 - Standardised approach to counterparty...
- PDF Version
15 gru 2019 · Standardised approach for measuring counterparty credit risk exposures (SA-CCR), which is set out in CRE52. This method is to be used for exposures arising from OTC derivatives, exchange-traded derivatives and long settlement transactions.
24 cze 2024 · The European Banking Authority (EBA) today published its final draft amending Regulatory Technical Standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR). This regulatory product is part of the new roadmap on the Banking Package.
The standardised approach to counterparty credit risk is a measurement of counterparty credit risk that calculates the exposure at default of derivatives and long-settlement transactions. SA-CCR is intended to be a risk-sensitive methodology that differentiates between margined and non-margined trades and recognises netting benefits.
Under the latest Basel rules, financial institutions will have the option to calculate their counterparty credit risk (CCR) risk-weighted assets (RWA) using SA-CCR or, subject to regulatory approval, the internal model method (IMM).
The European Banking Authority (EBA) today published its final draft amending Regulatory Technical Standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR). This regulatory product is part of the new roadmap on the Banking Package.
31 mar 2014 · approach for measuring exposure at default (EAD) for counterparty credit risk (CCR). The EAD itself is the assessment base in measuring counterparty credit risk of derivatives within the Basel Committee’s regulatory capital framework. The introduction of SA-CCR, based on the Basel Committee’s proposal, is planned for January 1st 2017.
