• Basel III Counterparty Credit Risk: Basel Committee Publishes Consultative Document Proposing New Non-Internal Model Method to Replace the Current Exposure Method for Calculating Capital for Counterparty Credit Risk Exposures for Derivative Transactions
  • July 24, 2013
  • Law Firm: Sullivan Cromwell LLP - New York Office
  • The Basel Committee on Banking Supervision (the “Basel Committee”) recently published for comment a consultative document (the “Proposal”) that describes a new non-internal model method (“NIMM”) for measuring exposure at default (“EAD”) used in measuring counterparty credit risk (“CCR”) for derivative transactions in capital adequacy calculations. The NIMM would replace the current exposure method (“CEM”) and the standardized method (“SM”) in the CCR framework.