Follow Us

Follow us on Twitter  Follow us on LinkedIn
 

22 March 2018

BCBS: Frequently asked questions on the Basel III standardised approach for measuring counterparty credit risk exposures


The Basel Committee on Banking Supervision has received a number of interpretation questions related to the Standardised Approach for measuring counterparty credit risk (SA-CCR), as published in March 2014. This document presents a set of frequently asked questions that relate to the SA-CCR.

To promote consistent global implementation of the standard, the Committee has agreed to periodically review frequently asked questions (FAQs) and publish answers along with any technical elaboration of the standards text and interpretative guidance that may be necessary.

The questions and answers are grouped to sections pertaining to:

  • the general formula,
  • the PFE add-on, and
  • treatments for specific derivatives.

FAQs that have been added since the publication of the previous version of this document in August 2015 are shaded yellow.

Updated FAQ



© BCBS (BIS)


< Next Previous >
Key
 Hover over the blue highlighted text to view the acronym meaning
Hover over these icons for more information



Add new comment