Blog article
See all stories ยป

BCBS finalises approach of derivatives-related transactions

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

1845

Comments: (0)

Blog group founder

Retired Member

Member since

19 Mar 2009

Location

Blog posts

6,023

Comments

6,224

This post is from a series of posts in the group:

Financial Services Regulation

This network is for financial professionals interested in staying up to date on financial services regulation happening anywhere in the world. CFOs, bankers, fund managers, treasurers welcome.


See all