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. Pārskats

1.1 Atsauces

1.2 Identificētās prasības

1.3 Saistītie standarti

2. Identificētās prasības

3. Saistītie standarti

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