BANK 3.2.27 Cumulative gains and losses from changes to own credit risk

In the calculation of CET 1 capital, a banking business firm must derecognise all unrealised gains and unrealised losses that have resulted from changes in the fair value of liabilities that are due to changes in the firm’s own credit risk.

Derived from QFCRA RM/2014-2 (as from 1st January 2015).