Industry associations ask Basel Committee to revise SA-CCR in light of market changes

The International Swaps and Derivatives Association (“ISDA”), the Institute of International Finance (“IIF”), the Global Financial Markets Association (“GFMA”), and our members (“the Industry”) are writing to respectfully request that the Basel Committee on Banking Supervision (“BCBS”) reconsider the 2014 standardized approach for measuring counterparty credit risk exposures (“SA-CCR”). We wish to bring to your attention the Industry’s concerns regarding the SA-CCR standard.

While the SA-CCR standard is a more risk sensitive approach for calculating exposure at default for counterparty credit risk (“CCR”) compared to the Current Exposure Method (“CEM”), there remain aspects of the standard that result in excessive risk exposures with associated impact on capital and end-user costs2. This deficiency is largely due in part to the timing of the finalization of the standard, April 2014, which ultimately results in a lack of reflection of structural changes in the derivatives market and the overall regulatory framework since 2014, as well as a calibration of SA-CCR that lacks risk sensitivity.

The full letter is available at

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