Basel Committee on Banking Supervision

Basel Committee on Banking Supervision The standardised approach for measuring counterparty credit risk exposures March 2014 (rev. April 2014) This publication is available on the BIS website ( ). Bank for International Settlements 2014. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9131-222-1 (print) ISBN 978-92-9131-223-8 (online) The standardised approach for measuring counterparty credit risk exposures iii Contents I. Introduction .. 1 A. Background .. 1 B. Introducing the SA-CCR .. 1 C. Scope of application .. 2 D. Transitional arrangements .. 3 E. Examples .. 3 II. Revisions to Part 2: The First Pillar; Section II: Credit risk the standardised approach .. 3 III. Revisions to Part 2: The First Pillar; Annex 4 Treatment of Counterparty Credit Risk and Cross-Product Netting.

E. Examples Annex 4a sets forth examples of application of the SA-CCR to sample portfolios. Annex 4b sets forth examples of the operation of the SA-CCR in the context of standard margin agreements. Annex 4c sets forth a flow chart of steps for calculating interest-rate add-ons. II.

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  Samples, Example, Margin

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