V. Counterparty Credit Risk
C 52/2017 STA Effective from 1/12/2022- I. Introduction and Scope
- II. Definitions
- III. Requirements for Counterparty Credit Risk (CCR)
- Netting Sets
- Exposure at Default and Risk-Weighted Assets
- Replacement Cost
- Potential Future Exposure
- Adjusted Notional Amount
- Supervisory Delta Adjustment and Effective Notional Amount
- Maturity Factor
- Supervisory Factors, Correlations, and Volatilities
- PFE Multiplier
- Margin Agreements Covering Multiple Netting Sets
- IV. Requirements for Bank Exposures to Central Counterparties
- Qualifying Central Counterparties
- Exposures to QCCPs
- Requirements for Bank Risk Management Related to QCCPs
- V. Review Requirements
- VI. Shari’ah Implementation
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