Risk USA: Basel Committee considers capital charges on bank exposures to CCP default funds
A new capital charge on bank exposures to CCP default funds could be introduced in December, says Osfi's White.
The Basel Committee on Banking Supervision is likely to introduce a capital charge on bank exposures to central counterparty (CCP) default funds in December, as it looks to put the finishing touches to Basel III.
The capital charge will probably 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, and then determine the extent to which clearing members could be exposed through
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