The Standardized Approach for Measuring Counterparty Credit Risk

This document presents the Basel Committee’s formulation for its Standardised Approach (SA-CCR) for measuring exposure at default (EAD) for counterparty credit risk (CCR). The SA-CCR will replace both current non-internal models approaches, the Current Exposure Method (CEM) and the Standardised Method (SM). In formulating the SA-CCR, the Basel Committee’s main objectives were to devise an approach that is suitable to be applied to a wide variety of derivatives transactions (margined and unmargined, as well as bilateral and cleared); is capable of being implemented simply and easily; addresses known deficiencies of the CEM and the SM; draws on prudential approaches already available in the Basel framework; minimises discretion used by national authorities and banks; and improves the risk sensitivity of the capital framework without creating undue complexity.