Basel Committee Issues Final Standard for Capital Treatment of Bank Exposures to Central Parties

The Basel Committee on Banking Supervision released revised final standards for capital requirements for bank exposures to central counterparties (“CCPs”). Notable revisions of the framework include:

  • a new approach for determining the capital requirements for bank exposures to qualifying CCPs (“QCCPs”);
  • employing a standardized approach for counterparty credit risk (as opposed to the Current Exposure Method) to measure the hypothetical capital requirement of a CCP;
  • an explicit cap on the capital charges applied to bank exposures to QCCPs (i.e., those charges will not exceed the charges that would be otherwise applicable if the CCP were a non-qualifying CCP);
  • specification of the treatment for multilevel client structures; and
  • the inclusion of text relating to frequently asked questions posed to the Basel Committee in the course of its work on the revised policy framework.

See: Final Requirements; Interim Requirements; Press Release.