إطار متطلبات رأس المال لمخاطر الائتمان للأطراف المقابلة (CCR) وتعديل تقييم الائتمان (CVA)

The Basel III framework on Counterparty Credit Risk includes a comprehensive, non-modelled approach for measuring counterparty credit risk arising from derivative contracts, Securities Financing transaction (SFT) and cash transactions in securities, foreign exchange and commodities. With the continued growth of the derivative market and banks' increasing use of financial instruments and structured products for yield enhancement and/or risk management purposes, it is essential for them to have the necessary systems and expertise for managing any CCR associated with those

3. Definitions

General Terms

Counterparty credit risk (CCR)

The risk that the counterparty to a transaction could default before the final settlement of the transaction's cash flows. An economic loss would occur if the transactions or portfolio of transactions with the counterparty has a positive economic value at the time of default. Unlike a firm's exposure to credit risk through a loan, where the exposure to credit risk is unilateral and only the lending bank faces the risk of loss, CCR creates a bilateral risk of loss: the market value of the transaction can be positive or negative to

A member of, or a direct participant in, a CCP that is entitled to enter into a transaction with the CCP, regardless of whether it enters into trades with a CCP for its own hedging, investment or speculative purposes or whether it also enters into trades as a financial intermediary between the CCP and other market participants.

For the purposes of the CCR standard, where a CCP has a link to a second CCP, that second CCP is to be treated as a clearing member of the first CCP. Whether the second CCP's collateral contribution to the first CCP is treated as initial margin