BCBS 227

From Open Risk Manual


BCBS 227 is a document published by the Basel Committee on Banking Supervision on July 2012 in the Risk Management category.


Capital requirements for bank exposures to central counterparties.


The Basel Committee issued today interim rules for the capitalisation of bank exposures to central counterparties(CCPs).The interim rules allow for full implementation of Basel III, while still recognising that additional work is needed to develop an improved capital framework. Further work in this area is planned for 2013.

The Committee's framework for capitalising exposures to CCPs builds on the new CPSS-IOSCO Principles for Financial Market Infrastructures (PFMIs), which are designed to enhance the robustness of the essential infrastructure - including CCPs - supporting global financial markets. Where a CCP is supervised in a manner consistent with these principles, exposures to such CCPs will receive a preferential capital treatment. In particular, trade exposures will receive a nominal risk-weight of 2%. In addition, the interim rules published today allow banks to choose from one of two approaches for determining the capital required for exposures to default funds: (i) a risk sensitive approach on which the Committee has consulted twice over the past years, or (ii) a simplified method under which default fund exposures will be subject to a 1250% risk weight subject to an overall cap based on the volume of a bank's trade exposures.

Update 21 November 2012: To promote consistency in application of the first approach, the Committee has published a template, together with related instructions, to assist central counterparties in calculating bank exposures arising from default fund contributions.

  • Instructions (PDF, 14 pages, 100 kb)
  • Template (XLS, 1310 kb)

Update20 December 2012: This revised template performs the same computation of bank exposures arising from default fund contributions but can accommodate up to 250 clearing members instead of 80 in the original template.

  • Revised template (XLS,3148 kb)

On 1 January 2017 this document will be superseded by the Capital requirements for bank exposures to central counterparties - final standard, published on 10 April 2014.

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