The Standardised Approach for Counterparty Credit Risk (SA-CCR), a methodology to calculate the capital required to address the risk that the counterparty to a derivative contract will not live up to its contractual obligations, is a replacement for two existing ‘simple’ and outdated non-modelled exposure methods – the current exposure method (CEM) and the standardized method (SM).
While SA-CCR is intended to address some of the long-standing criticisms of the CEM and SM approaches, it still has several shortcomings, including its calibration and lack of recognition of margining and netting, which result in significantly overstated exposures. This could severely impact the availability and pricing of hedging products for end users.
Moreover, the full impact resulting from the implementation of SA-CCR remains untested. It is therefore imperative that the shortcomings of SA-CCR be remedied, as well as a full impact study on its calibration and its aggregate impact performed before it is implemented through the European Union’s Capital Requirements Regulation.
Documents (1) for ISDA/AFME Briefing Note on SA-CCR
Latest
Building Markets, Creating Opportunity
Deep and liquid derivatives markets are fundamental to the development of well-functioning financial markets and healthy economies. They support lending, investment and financial stability, creating the certainty needed for economic growth. But strong derivatives markets do not emerge by chance....
Key Trends in OTC Derivatives Market H2 2025
The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows an increase in notional outstanding of OTC derivatives during the second half of 2025 compared to the same period in 2024. Notional outstanding rose across all...
ISDA-SIFMA letter to SEC on Swap Dealer Thresholds
ISDA and SIFMA have submitted a comment letter to the SEC in response to the staff report on the definitions of “security-based swap dealer” and “major security-based swap participant.” The associations recommend maintaining the current de minimis thresholds for both...
ISDA responds to RBI consultation on SA-CCR
On July 1, ISDA responded to the Reserve Bank of India's (RBI) consultation on draft amendment directions on the standardized approach for counterparty credit risk (SA-CCR). ISDA broadly welcomes the RBI's move to SA-CCR and updated capital treatment for exposures...