ARTICLE
14 October 2015

Basel Committee On Banking Supervision Issues Report On Regulatory Consistency Of Risk-Weighted Assets For Counterparty Credit Risk

SS
Shearman & Sterling LLP

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On October 1, 2015, the Basel Committee on Banking Supervision published a report relating to the regulatory consistency of Risk-Weighted Assets for counterparty credit risk.
Worldwide Finance and Banking

On October 1, 2015, the Basel Committee on Banking Supervision published a report relating to the regulatory consistency of Risk-Weighted Assets for counterparty credit risk. This report is part of the BCBS's wider Regulatory Consistency Assessment Program, which is intended to ensure consistent implementation of the Basel III framework. The report examines variability in banks' modeling of derivatives, specifically exposure modeling, by presenting findings from a hypothetical test portfolio exercise. The report concentrates on the internal models method and the advanced credit valuation adjustments risk capital charge for OTC derivative trades. This report completes the BCBS's review, in respect of trading-related internal models, and follows two earlier exercises that focused on market risk RWAs that were published in January 2013 and December 2013. In the report, the BCBS presents key findings, lists a number of observed good practices, and highlights areas where banks and supervisors may seek to harmonize practices to reduce variability in outcomes.

The report is available at: http://www.bis.org/bcbs/publ/d337.pdf.

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