Fourth FAQs on Basel III's counterparty credit risk and exposures to central counterparties
28 December 2012
The Basel Committee on Banking Supervision today issued frequently asked questions (FAQs) on Basel III's counterparty credit risk rules and the interim framework for bank exposures to central counterparties (CCPs). To promote consistent global implementation of those requirements, the Committee has agreed to periodically review frequently asked questions and publish answers along with any technical elaboration of the rules text and interpretative guidance that may be necessary.
The Committee has received a number of interpretation questions related to the December 2010 publication of the Basel III regulatory frameworks for capital and liquidity as well as the July 2012 publication of the interim framework for determining capital requirements for bank exposures to CCPs. Today's publication sets out the fourth set of FAQs that relate to Basel III counterparty credit risk requirements, including the default counterparty credit risk charge, the credit valuation adjustment capital charge and asset value correlations. It also includes FAQs relating to the interim framework for bank exposures to CCPs.