Capital requirements for bank exposures to central counterparties: Difference between revisions

Revision as of 10:56, 25 October 2018

The Bank for International Settlements capital requirements for bank exposures to central counterparties pqaper came into force on 1 January 2017. The final standard differs from the interim requirements by:

including a single approach for calculating capital requirements for a bank's exposure that arises from its contributions to the mutualised default fund of a qualifying CCP (QCCP);
employing the standardised approach for counterparty credit risk (as opposed to the Current Exposure Method) to measure the hypothetical capital requirement of a CCP;

including an explicit cap on the capital charges applicable to a bank's exposures to a QCCP;

specifying how to treat multi-level client structures whereby an institution clears its trades through intermediaries linked to a CCP; and
incorporating responses to frequently asked questions posed to the Basel Committee in the course of its work on the final standard.

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-The [[Bank of International Settlements]] [https://www.bis.org/publ/bcbs282.htm capital requirements for bank exposures to central counterparties] pqaper came into force on 1 January 2017.
+The [[Bank for International Settlements]] [https://www.bis.org/publ/bcbs282.htm capital requirements for bank exposures to central counterparties] pqaper came into force on 1 January 2017.
 The final standard differs from the interim requirements by:
 *including a single approach for calculating capital requirements for a bank's exposure that arises from its contributions to the mutualised default fund of a qualifying CCP (QCCP);