Counterparty Credit Risk and SA-CCR Implementation

This programme addresses the implementation of the Standardised Approach for Counterparty Credit Risk (SA-CCR) under Basel III, with focus on practical application for SME banks with derivative exposures. Participants will understand the methodology for calculating exposure at default for derivatives and the impact on capital requirements. The course covers netting, collateral recognition, and exposure calculation techniques.

While many SME banks have limited derivative exposure, those engaged in hedging activities or serving larger SME clients will benefit from understanding SA-CCR implementation requirements and capital implications.

Participants will:

• Master SA-CCR calculation methodology and implementation
• Understand netting and collateral treatment under SA-CCR
• Calculate counterparty credit risk capital requirements
• Implement effective counterparty credit risk management frameworks
• Navigate practical challenges in SA-CCR implementation
• Optimise derivative exposures within capital constraints

• Counterparty Credit Risk Framework
  • CCR vs. traditional credit risk
  • SA-CCR development and objectives
  • Regulatory implementation requirements
• SA-CCR Methodology
  • Replacement cost calculation
  • Potential future exposure determination
  • Add-on calculation by asset class
  • Netting set and collateral treatment
• Implementation Considerations
  • Systems and data requirements
  • Operational processes and controls
  • Capital impact assessment
  • Business strategy implications