On January 31, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Basel Committee on Banking Supervision’s proposed technical amendment on counterparty credit risk (CCR) hedging exposures. The associations believe the proposed changes to the treatment of CCR hedges are unnecessary, as the current substitution method is already very conservative and the new calculation would be complex and burdensome. The associations also believe the calibration of the potential future exposure (PFE) multiplier in the standardized approach to counterparty credit risk (SA-CCR) is too conservative and should be recalibrated before imposing changes in the technical amendment. In addition, the proposed alignment between collateral and credit derivatives fails to establish consistent treatment. The associations are concerned that the technical amendment may discourage the use of credit risk mitigation instruments, which are crucial for managing counterparty credit risk exposures.
Documents (1) for ISDA and IIF Response on Counterparty Credit Risk Hedging
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