Regulatory Alerts2022-05-17
Basel III Enhanced Risk Coverage Consultation Annex A
The Reserve Bank issues Annex A to implement Basel III requirements by amending regulatory frameworks BS2A and BS2B to enhance risk coverage. The document mandates specific capital charges for Credit Valuation Adjustment and establishes detailed treatment rules for exposures to qualifying and non-qualifying central counterparties. It further introduces strict collateral management standards, reclassifies re-securitisations as ineligible collateral, and applies higher correlation multipliers to large financial institutions.
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