Capital requirements for bank exposures to central counterparties

The Bank of 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.