10 February 2016

Stuart Clark

Stuart Clark - Impendium Systems

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Financial Services Regulation

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BCBS finalises approach of derivatives-related transactions

14 April 2014  |  1144 views  |  0

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

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job title Product Development Director
location London
member since 2012
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Co-founded Impendium in 2006. Previously head of Client Services for Deutsche Banks top 100 customers.

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