Basel Committee tweaks counterparty risk rules

Basel Committee changes CVA methodology and releases consultation paper on CCP default fund charges


The Basel Committee on Banking Supervision has made several major changes to its rules on counterparty credit risk, modifying its methodology for a new credit value adjustment (CVA) capital charge and introducing a charge for bank exposures to central counterparty (CCP) default funds.

The alterations were revealed in the final text of the Basel III rules, published on December 16. As anticipated, the committee set capital incentives to encourage derivatives trades to be passed through clearing

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