Basel Committee finalises standard on banks' exposures to CCPs: Basel Committee has published the final standard for calculating regulatory capital for banks' exposures to CCPs. It introduces:

  • a single approach to calculating the exposure to a qualifying CCP's (QCCP) default fund;
  • the use of the new standardised approach to counterparty credit risk (SA CCR) to measure the hypothetical capital requirement of a CCP when determining the capitalisation of clearing member default fund contributions; 
  • a cap so that capital for exposures to QCCPs does not exceed the charges applicable if the CCP was not a QCCP; and
  • specification of the treatment for multi-level structures where clearing services are provided by an institution which is not a direct clearing member, but is itself a client of a clearing member or another clearing client. 

The final standard will take effect from 1 January 2017. (Source: Capital Requirements for Banks Exposures to CCPs - Final Standard)

Basel Committee finalises large exposures standard: Basel Committee has published the final standard for measuring and controlling large exposures. The changes introduced to the original proposal mean that banks should now define and report an exposure as being large in nature where it surpasses a threshold of 10% of the eligible capital base. Look-through obligations in respect of the assets underlying a securitisation will be triggered where their exposure value is equal to or above 0.25% of a bank's eligible capital base. The final standards also recognise the features of some covered bonds. The general limit on exposures to a single counterparty or to a group of connected counterparties remains at the same level originally proposed, at 25% of an institution's Tier 1 capital. The limit is reduced to 15% for exposures between global systemically important banks. The standard will take effect from 1 January 2019. The Basel Committee will also consider by 2016 whether to set a limit for exposures to QCCPs. (Source: Final Standard for Measuring and Controlling Large Exposures Published by the Basel Committee)