2025-09-11

Capital Adequacy Requirements (CAR) Chapter 7 – Settlement and Counterparty Risk

OSFI issued this guideline for federally regulated financial institutions to define capital requirements for counterparty credit risk and settlement exposures. It establishes permissible calculation methods, including the Internal Modelling Method and Standardized Approach for Counterparty Credit Risk, to determine Exposure at Default and capital charges for derivatives, securities financing transactions, and central counterparty exposures. The framework mandates specific criteria for cross-product netting, margin agreements, collateral recognition, and the treatment of qualifying versus non-qualifying central counterparties to ensure consistent capital buffers against bilateral and multilateral default risks.

Canada

Office of the Superintendent of Financial Institutions

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