Counterparty Credit Risk (CCR)

EBA Reporting for Counterparty Credit Risk (CCR) ensures that financial institutions measure and manage the risk of default by counterparties in derivatives, securities financing transactions (SFTs), and long settlement transactions. It is part of the Capital Requirements Regulation (CRR) framework, aligning EU banks with Basel III/IV standards. 

Banks must report CCR exposure, risk-weighted assets (RWAs), and capital requirements through COREP (Common Reporting Framework) templates. The key approaches for calculating CCR exposure include: 

• Standardised Approach (SA-CCR): The default method, replacing the Current Exposure Method (CEM) and the Standardised Method (SM), providing a more risk-sensitive measure. 
• Internal Model Method (IMM): Used by banks with regulatory approval, incorporating Expected Positive Exposure (EPE) to assess potential future exposure. 
• Original Exposure Method (OEM): A simpler approach with fixed risk weights 

Key reporting templates include: 

• C 34.01 – C 34.07 (SA-CCR and IMM reporting): Covering exposure values, RWAs, and capital requirements. 
• C 35.01 – C 35.03 (Credit Valuation Adjustment - CVA): Reporting adjustments for market-implied credit risk in derivatives. 

With CRR3, banks face stricter SA-CCR calibration and new capital requirements for CVA risk. Accurate EBA reporting ensures regulatory compliance and strengthens financial stability by improving transparency in counterparty risk management. For further information or to book a CCR demo, talk to one of our Suade specialists today!