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

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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.
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The [[Bank for International Settlements]] [https://www.bis.org/publ/bcbs282.htm capital requirements for bank exposures to central counterparties] paper came into force on 1 January 2017. Read the full text of the paper [https://www.bis.org/publ/bcbs282.pdf here].
The final standard differs from the interim requirements by:
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);
*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);

Revision as of 10:57, 25 October 2018

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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.
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