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BCBS consults on the treatment of derivative transactions..

BCBS consults on the treatment of derivative transactions under the capital adequacy framework

The Basel Committee on Banking Supervision (BCBS) has published two consultative documents:

  • The non-internal model method for capitalising counterparty credit risk exposures (BCBS254).  This consultative paper aims to improve the methodology for assessing the counterparty credit risk associated with derivative transactions.
  • Capital treatment of bank exposures to central counterparties (CPPs) (BCBS253). The proposed changes aim to establish a capital treatment that ensures banks’ exposures to CCP are capitalised while also preserving incentives for central clearing.

The deadline for comments is 27 September 2013.

 

Related Link :

http://www.bis.org/press/p130628.htm

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