SA-CCR

The Basel Committee on Banking Supervision’s (BCBS’s) consultation paper 279, published in March 2014, presented a new standardized approach for measuring counterparty credit risk exposures (SA-CCR) for over-the-counter (OTC) derivatives, exchange-traded derivatives and long settlement derivatives, building on an earlier framework known as the non-internal model method for capitalizing counterparty credit risk exposures (NIMM), described in BCBS consultation paper 254 from June 2013. 

This most recent SA-CCR standard was developed in response to the weaknesses of the current exposure method (CEM) and standardized method (SM) in correctly representing the risk of derivative transactions. As a result of the changes, banks will have to make extensive changes to existing data records, calculation methods for equity capital requirements and large exposure reporting. European implementation of the new standard can be expected when the European Commission´s draft of the revised Capital Requirements Regulation (CRR II), published on 23 November 2016, becomes legally binding. 

BearingPoint offers a flexible calculation engine for determining exposures in accordance with the SA-CCR and the implementation of this solution for our clients.

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