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ID 1107. Capital requirements for counterparty credit risk arising from both banking book and trading book positions Back

Relevant provisions

Annex I , Section 4 of Directive 2006/49/EC


Section 4 of the Annex I says "The competent authorities may allow the capital requirement for an exchange-traded future to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the future and that it is at least equal to the capital requirement for a future that would result from a calculation made using the method set out in this Annex or applying the internal models method described in Annex V."
This means that the ET derivatives are also subjet to a capital charge? Since this annexe appear in the 2006/49/EC document I tought that this capital requirement should already be applied. But reading about CRD IV, it seems that the ET derivatives will have a capital charge in the new regulation starting in 2013.


The requirement for position risk is already applicable under current rules and will remain applicable once the Capital Requirement Regulation will enter into force (the CRR will replace the existing legislation).


Submitted on 14/03/2012

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Capital Requirements Directives (CRD)
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