On April 21, 2022, ISDA, the Institute of International Finance, and the Global Financial Markets Association submitted a joint letter requesting the Basel Committee reopen the 2014 standardized approach for measuring counterparty credit risk (SA-CCR).
While the SA-CCR standard is a more risk sensitive approach for calculating exposure at default for counterparty credit risk compared to the Current Exposure Method, it is becoming evident as firms implement SA-CCR that the framework as written needs to be revisited given the timing of the finalized rule as it does not adequately reflect structural changes in the derivatives market and the overall regulatory framework since the standard was finalised. In light of market developments that have occurred in recent years the industry believes a holistic and consistent review of SA-CCR across all jurisdictions is justified in order to minimize the risk of market fragmentation and to recalibrate SA-CCR to a sufficiently risk-sensitive level.
Documents (1) for Letter to BCBS on Revisiting SA-CCR
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