Basel Committee considers capital charges on CCP default fund exposures

Banks will face a higher capital charge if the CCP default fund is deemed to be at risk of loss

The Basel Committee on Banking Supervision will consider a capital charge on bank exposures to central counterparty (CCP) default funds this month, as it adds the finishing touches to Basel III.

The capital charge is likely to be based on a risk-sensitive waterfall-based calculation, which will consider the amount of initial margin posted with the clearing house and its own financial resources, then determine the extent to which clearing members could be exposed through default fund