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.
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