228. For this assessment, competent authorities should focus on the following sources of inherent …

For this assessment, competent authorities should focus on the following sources of inherent risk, where relevant:

a. the quality of counterparties and relevant credit valuation adjustments (CVAs);
b. the complexity of the financial instruments underlying the relevant transactions;
c. the wrong-way risk arising from the positive correlation between the counterparty credit risk and the credit risk exposure;
d. the exposure to counterparty credit and settlement risks in terms of both current market values and nominal amount, compared to the overall credit exposure and to own funds;
e. the proportion of transactions processed through financial market infrastructures (FMIs) that provide payment versus delivery settlement;
f. the proportion of relevant transactions to central counterparties (CCPs) and the effectiveness of their loss protection mechanisms such as margin levels and default fund contribution; and
g. the existence, significance, effectiveness and enforceability of netting agreements (close-out netting).

Material changes to the book value of assets

1. Overview

Summary	Regulation

Requirements
Source	Requirement

Standards
Source	Requirement