Regulatory Alerts2022-05-17
Basel III Enhanced Risk Coverage: Counterparty Credit Risk and Related Issues
The Reserve Bank of New Zealand proposes implementing Basel III enhanced risk coverage standards, introducing a credit valuation adjustment charge for mark-to-market counterparty credit risk and an asset value correlation multiplier for exposures to large or unregulated financial institutions. The consultation outlines new requirements for margining, collateral management, and stressed market data usage for highly leveraged counterparties, alongside specific risk weights for exposures to central counterparties. Additionally, the document details proposals to manage wrong-way risk and addresses reliance on external credit ratings, with submissions invited by November 23, 2012.
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