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Basel Committee on Banking Supervision: The non-internal model method for capitalizing counterparty credit risk exposures — consultative document

( June 28, 2013, 15:14 GMT | Official Statement) -- MLex Summary: A new non-internal method to assess the counterparty credit risk associated with derivative trades would distinguish between margined and unmargined transactions, enhance netting practices and reduce the scope for banks’ discretion by applying to a wide class of trades, the Basel Committee on Banking Supervision has said. This model would replace existing ones in the framework for capital treatment, and could also be applied to the leverage ratio, large exposures, and exposures to clearinghouses, the body has added.The text of the statement follows. Click on the attachment below for the full document....

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