This chapter sets out the calculation of capital requirements for bank exposures to central counterparties.

Version effective as of 01 Jan 2023

Cross references updated to take account of the revised credit risk standards that come into effect due to the December 2017 Basel III publication and the revised implementation date announced on 27 March 2020.

Scope of application

54.1 This chapter applies to exposures to central counterparties arising from over-the-counter (OTC) derivatives, exchange-traded derivatives transactions, securities financing transactions (SFTs) and long settlement transactions. Exposures arising from the settlement of cash transactions (equities, fixed income, spot foreign exchange and spot commodities) are not subject to this treatment. [For contributions to prepaid default funds covering settlement-risk-only products, the applicable risk weight is 0%.] The settlement of cash transactions remains subject to the treatment described in CRE70.

54.2 When the clearing member-to-client leg of an exchange-traded derivatives transaction is conducted under a bilateral agreement, both the client bank and the clearing member are to capitalise that transaction as an OTC derivative. [For this purpose, the treatment in CRE54.12 would also apply.] This treatment also applies to transactions between lower-level clients and higher-level clients in a multi-level client structure.

Central Counterparties