24 May 2015

Stuart Clark

Stuart Clark - Impendium Systems

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BCBS publishes capital standard for bank exposures to CCPs

07 May 2014  |  4073 views  |  0

The Basel Committee on Banking Supervision (BCBS) has published a final standard for calculating regulatory capital for banks’ exposures to central counterparties (CCPs).  This will replace the interim capital requirements and come into effect on 1 January 2017.  The interim requirements will continue to apply until that date.   

The final standard retains many of the interim requirements (including the general terms, scope of application, treatment of trade exposures to qualifying CCPs and the capital requirements for bank exposures to non-qualifying CCPs) but differs from them 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 (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 the treatment of multi-level client structures whereby an institution clears its trades through intermediaries linked to a CCP; and
  • incorporating responses to frequently asked questions put to the BCBS in the course of its work on the final standard.

Related link:

http://www.bis.org/publ/bcbs282.htm

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job title Product Development Director
location London
member since 2012
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Co-founded Impendium in 2006. Previously head of Client Services for Deutsche Banks top 100 customers.

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