This section defines terms that will be used throughout this chapter.Ĭounterparty Credit Risk (CCR) is the risk that the counterparty to a transaction could default before the final settlement of the transaction's cash flows. ħ.1.1 Definitions and general terminology As an alternative institutions may also use the Standardized Approach for Counterparty Credit Risk (SA-CCR). Footnote 4 Institutions may seek OSFI approval to make use of an Internal Modelling Method (IMM) meeting the requirements and specifications identified herein. This rule identifies permissible methods for estimating the Exposure at Default (EAD) or the exposure amount for instruments with counterparty credit risk under this guideline. Treatment of counterparty credit risk and cross-product netting For reference, the Basel paragraph numbers that are associated with the text appearing in this chapter are indicated in square brackets at the end of each paragraph Footnote 3.ħ.1. This chapter is drawn from the Basel Committee on Banking Supervision (BCBS) Basel framework, published on the BIS website Footnote 2, effective December 15, 2019. Capital treatment for failed trades and non-DvP transactionsĬhapter 7 - Settlement and Counterparty Risk
7.1.8.2 Exposures to Non-qualifying CCPs.7.1.7.20 Treatment of trades subject to Specific Wrong-Way Risk and Specific Right-Way Risk.7.1.7.19 Treatment of multiple margin agreements and multiple netting sets.7.1.7.18 Add-on for commodity derivatives.7.1.7.15 Add-on for foreign exchange derivatives.7.1.7.14 Add-on for interest rate derivatives.7.1.7.13 Supervisory correlation parameters: ρi(a).7.1.7.8 Trade-level Adjusted Notional (for trade I): di.7.1.7.6 General steps for calculating the add-on.7.1.7.5 Allocation of derivative transactions to one or more asset classes.7.1.7.4 Aggregation across asset classes.7.1.7.3 Recognition of excess collateral and negative mark-to-market.7.1.7 Standardized Approach for Counterparty Credit Risk.7.1.5.6 Operational requirements for EPE models.7.1.5.1 Exposure amount or EAD under the internal model method.7.1.5 Internal Model Method: measuring exposure and minimum requirements.7.1.4 Approval to adopt an internal modelling method to estimate EAD.7.1.3 Methods for Computing CCR Exposure.7.1.1.5 Exposure measures and adjustments.7.1.1.3 Netting sets, hedging sets, and related terms.7.1.1 Definitions and general terminology.Chapter 8 - Credit Valuation Adjustment (CVA) Risk.Chapter 7 - Settlement and Counterparty Risk.Chapter 5 - Credit Risk – Internal Ratings Based Approach.Chapter 4 - Credit Risk – Standardized Approach.This document, Chapter 7 – Settlement and Counterparty Risk, should be read in conjunction with the other CAR chapters which include: The Capital Adequacy Requirements (CAR) for banks (including federal credit unions), bank holding companies, federally regulated trust companies, federally regulated loan companies and cooperative retail associations, collectively referred to as 'institutions', are set out in nine chapters, each of which has been issued as a separate document. Effective Date: February 2023 / April 2023 Footnote 1.Basel Capital Adequacy Reporting (BCAR).SMSBs Capital and Liquidity Requirements.Liquidity Adequacy Requirements Guideline.Frequently asked questions – Basel III reforms.
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