Confusion over CCP default fund charge
The Basel Committee on Banking Supervision has proposed new capital charges for bank exposures to central counterparty (CCP) default funds, with the final rules expected to be drawn up by September. But is the timeline too ambitious, and who will calculate the so-called hypothetical capital for CCPs? By Joel Clark
Of all the working groups that research and draft standards for consideration by the Basel Committee on Banking Supervision, the risk management and modelling group (RMMG) has had one of the heaviest workloads over the past two years. Charged with drawing up new standards to capture counterparty credit risk in 2009, the group spent much of last year adjusting its proposals in response to industry criticism, particularly the controversial capital charge for credit value adjustment (CVA).
While
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