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. In addition to measuring capital requirements directly for counterparty credit risk, SA-CCR is also used indirectly in the Basel III leverage ratio framework as a replacement for the current exposure method to calculate banks’ derivatives exposure. The European Union and Basel Committee are also examining whether to apply SA-CCR as a measure of derivatives exposure under the net stable funding ratio.
STANDARDISED APPROACH TO COUNTERPARTY CREDIT RISK (SA-CCR)
