Basel III counterparty credit risk and exposures to central counterparties - Frequently asked questions (update of FAQs published in November 2012)

This version

BCBS  | 
28 December 2012
Status:  Consolidated
Topics: Credit risk


This standard has been integrated into the consolidated Basel Framework.

The Basel Committee on Banking Supervision 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 frequently asked questions (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. FAQs that have been added since the publication of the third version of this document in November 2012 are shaded yellow.