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IACPM Comments on Revisions to the Standardised Approach for Credit Risk

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  • IACPM Comments on Revisions to the Standardised Approach for Credit Risk
03/11/2016

The IACPM joined a group of other industry associations, including the Institute of International Finance ("IIF"), the Global Financial Markets Association ("GFMA") and the International Swaps and Derivatives Association (“ISDA”) to provide comments on the broader issues covered in the Consultative Document. The joint Association letter addresses various topics proposed by the Basel Committee, such as the application of risk weights across jurisdictions, capital floors and sector risk drivers. The letter also provides specific recommendations for the issues raised by the Basel Committee.

In addition, the IACPM issued a separate comment letter to follow up on the previously submitted IACPM letter, dated 27 March 2015, which addresses the sole topic of credit risk mitigation with credit default swaps that do not specify Restructuring as a Credit Event ("No-R CDS"; Paragraphs 171 and 172 of the Revisions to Standardized Approach for Credit Risk). In the letter, the IACPM argues in favor of US No-R CDS as an effective credit risk hedge.

 

Click here to access the joint association letter

Click here to access IACPM's comment letter

Click here to access previously submitted IACPM letter, dated 27 March 2015

Complete listing of comments received by the BCBS