Transcription of Basel Committee on Banking Supervision
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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.
186. Under the SA-CCR, the calculation of exposure amount will be as follows: Exposure amount alpha * (RC PFE) where: alpha = 1.4, RC = the replacement cost calculated according to paragraphs 130-145 of Annex 4, and PFE = the amount for potential future exposure calculated according to paragraphs 146-187 of Annex 4. 187. (deleted) 187(i). (deleted)
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