Community
The Basel Committee (BCBS) has published a final standard on the treatment of derivatives-related transactions in its capital adequacy framework. This applies to OTC derivatives, exchange-traded derivatives and long dated settlement transactions. The new risk-sensitive methodology differentiates between margined and unmargined trades, and aims to provide a more meaningful recognition of netting benefits. The new approach reduces the need for discretion by national authorities, limits the use of banks' internal estimates, and avoids undue complexity by drawing upon prudential approaches already available in the capital framework. It is calibrated to reflect the volatilities observed over the recent stress period and takes into account the incentives for centralised clearing of derivative transactions.
The standardised approach for counterparty credit risk will take effect from 1 January 2017.
Related link:
http://www.bis.org/publ/bcbs279.pdf
This content is provided by an external author without editing by Finextra. It expresses the views and opinions of the author.
Alexander Boehm Chief Executive Officer at PayRate42
05 September
Alexander Saleh Head of Partnerships at Coincover
02 September
Alex Kreger Founder & CEO at UXDA
Welcome to Finextra. We use cookies to help us to deliver our services. You may change your preferences at our Cookie Centre.
Please read our Privacy Policy.