The Basel Committee on Banking Supervision has received a number of interpretation questions related to the Standardised Approach for measuring counterparty credit risk (SA-CCR), as published in March 2014. This document presents a set of frequently asked questions that relate to the SA-CCR.
To promote consistent global implementation of the standard, the Committee has agreed to periodically review frequently asked questions (FAQs) and publish answers along with any technical elaboration of the standards text and interpretative guidance that may be necessary.
The questions and answers are grouped to sections pertaining to:
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the general formula,
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the PFE add-on, and
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treatments for specific derivatives.
FAQs that have been added since the publication of the previous version of this document in August 2015 are shaded yellow.
Updated FAQ
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