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Version status: Repealed | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
  Version 4 of 4    

Annex VIII Part 3 Calculating the effects of credit risk mitigation

1. Subject to Parts 4 to 6, where the provisions in Parts 1 and 2 are satisfied, the calculation of risk-weighted exposure amounts under Articles 78 to 83 and the calculation of risk-weighted exposure amounts and expected loss amounts under Articles 84 to 89 may be modified in accordance with the provisions of this Part.

2. Cash, securities or commodities purchased, borrowed or received under a repurchase transaction or securities or commodities lending or borrowing transaction shall be treated as collateral.

1. FUNDED CREDIT PROTECTION

1.1. Credit linked notes

3. Investments in credit linked notes issued by the lending credit institution may be treated as cash collateral.

1.2. On-balance sheet netting

4. Loans and deposits with the lending credit institution subject to on-balance sheet netting are to be treated as cash collateral.

1.3. Master netting agreements covering repurchase transactions and/or securities or commodities lending or borrowing transactions and/or other capital mark

Comparing proposed amendment...