Regulatory Alerts2016-06-21
Standardised Approach for Measuring Counterparty Credit Risk
The Saudi Arabian Monetary Agency mandates the Standardised Approach for Counterparty Credit Risk (SA-CCR) for all domestic banks, replacing the Current Exposure and Standardised Methods while eliminating the Internal Models Method shortcut. This updated capital adequacy framework introduces specific calibration rules for complex instruments, interest rate and credit derivatives, maturity floors, and margining thresholds to reduce measurement distortions. The revised requirements take effect on 1 January 2017 and require banks to cross-validate updated reporting templates against existing quarterly disclosures.
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