On-balance sheet netting - CRR Provision: Difference between revisions

Revision as of 14:48, 25 March 2019

Regulatory Capital Anatomy™
The JC’s untutored thoughts on how bank capital works.

Loans to and deposits with the lending institution subject to on-balance sheet netting are to be treated by that institution as cash collateral for the purpose of calculating the effect of funded credit protection for those loans and deposits of the lending institution subject to on-balance sheet netting which are denominated in the same currency.

— Section 219, CRR

Capital Requirements Regulation: 575/2013/ (EUR Lex) \| BIS publications: BIS capital requirements for bank exposures to central counterparties \| leverage ratio \| RWA \| portfolio risk \| systemic riskIndex: Click ᐅ to expand: Regulatory Capital

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