Counterparty credit risk: Difference between revisions

No, not Creedence Clearwater Revival. But, in the minds of a credit officer, something almost as hallowed, on which much of the ''Treatment of Counterparty Credit Risk and Cross-Product Netting'' under {{tag|Basel II}} is predicated. A good place to start is Annex 4.

{{box|[[Securities Financing Transaction]]s ({{tag|SFT}}s) are transactions such as repurchase agreements, reverse repurchase agreements, security lending and borrowing, and margin lending transactions, where the value of the transactions depends on market valuations and the transactions are often subject to margin agreements.}}

{{box|Netting Set is a group of transactions with a single counterparty that are subject to a legally enforceable [[bilateral netting arrangement]] and for which netting is recognised for {{tag|Regulatory Capital}} purposes under the provisions of paragraphs 96(i) to 96(v) of this Annex, this Framework text on credit risk mitigation techniques, or the Cross-Product Netting Rules set forth in this Annex. '''''Each transaction that is not subject to a legally enforceable bilateral netting arrangement that is recognised for regulatory capital purposes should be interpreted as its own netting set for the purpose of these rules'''''.}}