The Basel Committee on Banking Supervision (BCBS) has published a final standard which sets out a revised policy framework for the capital treatment of bank exposures to central counterparties (CCPs).

The final standard replaces the interim capital requirements for banks exposures to CCPs that were published in July 2012. The final standard retains many of the features from the interim framework, including the general terms, scope of application, treatment of trade exposures to qualifying CCPs (QCCPs), and the capital requirements for bank exposures to non-qualifying CCPs. There are also some notable revisions to the interim framework including:

  • a new approach for determining the capital requirements for bank exposures to QCCPs;
  • an explicit cap on the capital charges applied to bank exposures to QCCPs (i.e. those charges will not exceed the charges that would otherwise be applicable if the CCP were a non-qualifying CCP);
  • specification of the treatment for multi-level client structures; and
  • inclusion of text relating to frequently asked questions posed to the BCBS in the course of its work on the revised policy framework.

The final standard will apply as of 1 January 2017. Until that time, the interim capital requirements remain in effect.

View Capital standard for bank exposures to central counterparties finalised by the Basel Committee, 10 April 2014