Regulatory Alerts2000-11-30
Added
MAS Notice 627: Capital Treatment for Credit Derivatives
The Monetary Authority of Singapore issued this circular to amend MAS Notice 627 regarding the capital treatment for credit-linked notes. It introduces a risk-sensitive approach allowing banks acting as protection sellers to apply the higher of the risk charges for the reference asset or collateral, provided both are investment grade. This change addresses excessive capital charges under the current Basel Accord by permitting a single capital charge for high-quality exposures while maintaining dual charges for non-investment grade assets.
Topics
Share