Capitalisation of bank exposures to central counterparties
- Capitalisation of bank exposures to central counterparties - Consultative Document Basel Committee on Banking Supervision, December, 2010
- I. Executive summary
- This consultative paper seeks comments from banks, central counterparties (CCPs) and other stakeholders on the proposed Basel III reforms reflected in the proposed regulatory capital adequacy rules text attached as Annex A of this document. These changes seek to require banks to more appropriately capitalise their exposures to CCPs, including both trade and default fund exposures to CCPs.
- Generally speaking, the Committee proposes that trade exposures to a qualifying CCP will receive a 2% risk weight. In addition, default fund exposures to a CCP will, in accordance with a risk sensitive waterfall approach (based on a CCP’s actual financial
resources and hypothetical capital requirements), be capitalised according to a method that consistently and simply estimates risk arising from such default fund.
- This consultative paper also provides the background for an impact study which will be initiated shortly to measure the impact of the proposed changes on bank capitalisation.
The impact study will assist the Committee in finalising the rules for banks’ regulatory capital against exposures to CCPs, including a determination of the appropriate calibration of such rules. The Committee requests that banks, CCPs and stakeholders contact national supervisors to participate in the impact study
- Counterparty Credit Risk Measurement, Pricing and Hedging Risk Books, Published March, 2010