Global banking regulators released two proposals Friday that set out how derivatives transactions should be treated under the new capital adequacy framework, known as Basel III.
The Basel Committee on Banking Supervision released two consultative papers on the treatment of derivatives-related transactions, including a proposal that aims to improve the methodology for assessing the counterparty credit risk associated with derivative transactions, and a paper outlining potential changes to the capital treatment of banks’ exposure to central counterparties (CCPs).
The paper dealing with counterparty credit risk exposures looks to improve on the risk sensitivity of the existing model by differentiating between margined and unmargined trades. It also updates supervisory factors, and reduces the scope for discretion by banks and tries to minimize undue complexity, the committee notes.
The other paper, which has been developed along with the Committee on Payment and Settlement Systems (CPSS) and the International Organization of Securities Commissions (IOSCO), is designed to replace the interim treatment for bank exposures to CCPs that was issued by the Basel Committee in July 2012.
“The proposed changes to the interim standard seek to establish a capital treatment that ensures banks’ exposures to central counterparties are adequately capitalized, while also preserving incentives for central clearing,” it says, adding that it also aims to fix the fact that the interim rules could lead to instances of very little capital being held against exposures to some CCPs, and potentially in certain cases, to capital charges that are higher than for non-centrally-cleared transactions.
Stefan Ingves, chairman of the Basel Committee and governor of Sveriges Riksbank, said “these two proposals continue the committee’s work to finalize the post-crisis overhaul of the capital framework, as well as contributing to broader G20 efforts to encourage central clearing and so improve the resilience of derivatives markets.”
Comments on the proposals are due by September 27.