Translation of "translation of risque de taux d'intérêt " (French → English) :

The volatility adjustment shall apply only to the relevant risk-free interest rates of the term structure that are not derived by means of extrapolation in accordance with Article 77a. The extrapolation of the relevant risk-free interest rate term structure shall be based on those adjusted risk-free interest rates.

2. For each relevant currency, the volatility adjustment to the relevant risk-free interest rate term structure shall be based on the spread between the interest rate that could be earned from assets included in a reference portfolio for that currency and the rates of the relevant basic risk-free interest rate term structure for that currency.

A portfolio management practice which aims to offset the risk linked to an investment in a fixed interest rate bond by combining a long position on a credit default swap and an interest rate swap which swaps that fixed interest rate with an interest rate equal to an appropriate money market reference rate plus a spread should be considered as a hedging arrangement where all the hedging criteria of the commitment method are in principle complied with.

The Commission should also be empowered to adopt delegated acts in accordance withArticle 290 TFEU in respect of measures to specify the size of sudden and unexpected changes in interest rates relevant for the purposes of the review and evaluation by the competent authorities under Directive 2006/48/EC of interest rate risk arising from non-trading activities; to prescribe a temporary reduction in the minimum level of own funds or ...[+++] risk weights specified under that Directive in order to take account of specific circumstances; to clarify the exemption of certain exposures from the application of provisions of that Directive on large exposures; and to adjust the criteria for the assessment by supervisors under that Directive of the suitability of a proposed acquirer for a credit institution and the financial soundness of any proposed acquisition.

Concerning credit risks of OTC derivative instruments, the proposal would complement the "contractual netting" Directive (see IP/96/172), which came into force in April 1996, in three ways: * firstly, by extending the scope of the Solvency Ratio Directive's compulsory capital coverage for credit risks to all types of OTC derivatives (including notably commodity and equity-related derivatives as well as interest-rate- and foreign exchange-related derivatives) * secondly, by requiring calculation of capital charges for current credit exposure of OTC derivatives on the basis of more realistic market-values for most of banks' and investment ...[+++]firms' derivatives business and * thirdly by enabling supervisory authorities to allow for a refined calculation of capital charges appropriately reflecting the risk reducing effects of close-out netting on the potential future exposure of netted OTC derivatives (the existing rules allow current exposure to be taken into account). Together, these amendments would ensure a comprehensive and balanced regulation for capital requirements for credit risks inherent in OTC derivatives.

I have always assumed that that rationing process was a function of the banks being concerned about the flack they would take if it became public knowledge that they were charging prime-plus-eight. If you look at a curve in which increasing risk means increasing the price of the loan, rather than letting that curve stretch upward which is the case in the United States and you go along with the risk to the point where the price is right Canadian banks have effectively cut off the maximum interest ...[+++] rate, thereby cutting off the maximum risk.