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How should credit derivatives held in the trading book be reported?

April 26, 2017book credit derivatives held reported trading

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How should credit derivatives held in the trading book be reported?

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(December 21, 2004) Answer: The appropriate treatment is to apply the market risk approach to credit derivatives held in the trading book. In cases where the credit derivative is hedging a banking book exposure, the bank is not required to hold any counterparty credit risk capital for the credit derivative (please see question below).