Capital requirements for bank exposures to central counterparties

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The Bank for International Settlements capital requirements for bank exposures to central counterparties paper came into force on 1 January 2017. Read the full text of the paper here. 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.