In response to interpretive questions received from banking officials, finance ministers, regulators, bankers and other industry players, the Bank for International Settlements (BIS) has issued further clarifications to their regulatory frameworks for capital and liquidity as well as the interim framework for determining capital requirements for bank exposures to central counterparties.
The December 2012 publication lays 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. This latest FAQ builds on the most previos FAQ issued in November 2012, and BIS has helpfully highlighted in yellow changes, additions, and edits from the November guidance.