BCBS Issues Interim Rules on Capitalising Exposures to CCPs

Bank for International Settlements

July 25, 2012

The Basel Committee on Banking Supervision has issued interim rules on the capitalisation of exposures to central clearing counterparties (CCPs) as a part of Basel II. These rules are expected to come into force in January 2013.

CCPs which are supervised under the new CPSS-IOSCO Principles for Financial Market Infrastructures will receive a preferential capital treatment, and in particular trade exposures will receive a nominal risk-weighting of 2%.

Banks will also be able to choose between two approaches to determining the capital required for exposures to default funds: either by (i) a risk sensitive approach or (ii) a simplified method under which exposures will be subject to a risk-weighting of 1250%, subject to a cap based on the volume of the bank's trade exposures.