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
Latest
CRP Submission Request for Energy
Please fill out the submission form below. * denotes a mandatory field. Add "N/A" where not applicable. Examples can be found beneath the form. [contact-form-7 id="1139772" title="CRP Energy"] Examples Asset Class: Energy Product: Natural Gas Product Description: El Paso Additional...
CRP Submission Request for Agricultural Products
Please fill out the submission form below. * denotes a mandatory field. Add "N/A" where not applicable. Examples can be found beneath the form. [contact-form-7 id="1139774" title="CRP Agricultural Products"] Examples Asset Class: Agricultural Products Product: Coffee Product Description: Arabica Additional...
CRP Submission Requests
ISDA is currently accepting submission for Commodity Reference Prices ("CRPs") to be included in a future version of Sub-Annex A to the 2005 ISDA Commodity Definitions. Please use the following online forms to submit CRP requests for: Agricultural Products Energy...
ISDA Publishes DC Governance Committee Proposal
ISDA has published a proposal for a new governance committee for the CDS Determinations Committees (DCs), the first in a series of amendments to improve the structure of the DCs and maintain their integrity in changing economic and market conditions....