SA-CCR

THE NEW STANDARD APPROACH FOR COUNTERPARTY RISK

The amendment of the Capital Requirements Regulation (CRR II) and the Capital Requirements Directive (CRD V) at the European level is complete and the final documents were published in the EU Official Journal on 7 June 2019. Replacing the market valuation method with the new standardized approach for counterparty credit risk (SA-CCR) is one of the major changes associated with the CRR II amendment. This new standardized approach for calculating risk positions for derivatives is to be applied from 28 June 2021. An EBA-RTS is set to clarify specifications for individual open questions regarding the CRR II on SA-CCR. The implementation period of slightly less than two years is set to pose a number of major challenges for financial institutions. 

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