Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - 27 June 2021
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Article 439 Exposure to counterparty credit risk

Institutions shall disclose the following information regarding the institution's exposure to counterparty credit risk as referred to in Part Three, Title II, Chapter 6:

(a) a discussion of the methodology used to assign internal capital and credit limits for counterparty credit exposures;

(b) a discussion of policies for securing collateral and establishing credit reserves;

(c) a discussion of policies with respect to Wrong-Way risk exposures;

(d) a discussion of the impact of the amount of collateral the institution would have to provide given a downgrade in its credit rating;

(e) gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held and net derivatives credit exposure. Net derivatives credit exposure is the credit exposure on derivatives transactions after considering both the benefits from legally enforceable netting agreements and collateral arrangements;

(f) measures for exposure value under the methods set out in Part Three, Ti