3. In order to reflect basis risk appropriately, where this risk is material, valuation for the …

In order to reflect basis risk appropriately, where this risk is material, valuation for the purposes of the IRC for related positions (like, for example, bonds and CDSs

16 on the same obligor) should be differentiated. Thus, net long and net short positions that reference similar - but not identical - underlying assets should not result in an IRC measure equal to zero. Where basis risk is not accounted for, institutions should provide proof that this risk is not material.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/