Regulatory Alerts2021-05-12
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Revised Banking Returns and Disclosure Templates for Counterparty Credit Risk Framework - Enclosure 8 Completion Instructions MA(BS)3
The document provides illustrative examples and completion instructions for calculating default risk exposure under the SA-CCR approach for Annex IIIa and IIIb-A. It details the step-by-step computation of replacement cost, add-on, and potential future exposure for unmargined contracts, margined contracts, and scenarios involving recognized netting. The text specifies the formulas and supervisory factors applied to interest rate, credit-related, equity, and FX derivative contracts to determine the final default risk exposure amounts for reporting purposes.
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