Capital requirements for non-centrally cleared derivatives

 


 

 

 

According to the OTC Derivatives Market Reforms Twelfth Progress Report on Implementation, Financial Stability Board of 29 June 2017 (p. 12) higher capital requirements for non-centrally cleared derivatives (NCCDs) were developed by the BCBS as interim and final standards.

 

The interim standards were due to be implemented by 1 January 2013 (the interim standard for bank exposures to CCPs was published in July 2012 (available at http://www.bis.org/publ/bcbs227.pdf)) while the final standards (comprising the standardised approach to counterparty credit risk (SA-CCR) and final standards for bank exposures to CCPs) were due to be implemented by 1 January 2017.

 

In March 2014, the BCBS published the final standard on SA-CCR, with an associated implementation date of 1 January 2017 (http://www.bis.org/publ/bcbs279.pdf).

 

SA-CCR replaces both the Current Exposure Method (CEM) and the Standardised Method (SM) in the risk-based capital framework, while the IMM (Internal Model Method) shortcut method has also been eliminated from the framework.

 

The final standard for bank exposures to CCPs was published in April 2014,
with an implementation date of 1 January 2017 (http://www.bis.org/publ/bcbs282.pdf).

 

Twenty-three jurisdictions currently have in force comprehensive higher capital requirements consistent with the interim standards, up from 20 at end-June 2016, the exception being the United States.

 

By contrast, most jurisdictions are late with respect to the final standards.

 

Since September 2016, Australia commenced public consultation on implementation of the SA-CCR and final CCPs standard, with finalisation of new requirements for SA-CCR and final standard for bank exposures to CCPs expected by end-2017.

 

The European Commission adopted in November 2016 a proposal to implement the new SA-CCR and new rules on capital requirements for exposures to CCPs.

 

Hong Kong expects consultations on the application of the requirements to banks to continue through 2017–18.

 

Switzerland has initiated public consultations on the implementation of SA-CCR and bank exposure to CCP regulations in June 2016, with final rules having come into effect as of 1 January 2017.

 

 

 

 

 

 

IMG 0744

    Documentation    



 

 

 

OTC Derivatives Market Reforms Twelfth Progress Report on Implementation, Financial Stability Board, 29 June 2017 

 

 

 

 

 

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Last Updated on Friday, 14 July 2017 11:44
 

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