Basel Committee may adjust 'blunt' CCP default fund capital

Laurie Carver
21 Mar 2011

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Regulators could revise proposals for the calculation of default fund capital requirements - possibly trimming the cost of joining a central counterparty (CCP) - after admitting the original approach, based on the current exposure method (CEM), is blunt and fails to take account of netting between different members of a CCP.

"We accept the CEM needs to be reviewed to ensure the way netting is accounted for reflects how netting works in a CCP - that's what we're working on right now. CEM is

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