Regulatory Alerts2016-06-21
Capital Requirements for Bank Exposures to Central Counterparties
The Saudi Arabian Monetary Agency mandates updated capital requirements for all banks' exposures to qualifying central counterparties, effective 1 January 2017. The regulation introduces a unified calculation approach for mutualised default fund contributions, adopts the standardised counterparty credit risk method to replace the Current Exposure Method, and establishes an explicit capital charge cap. It further specifies capital treatment for multi-level client clearing structures and incorporates SAMA's national discretion alongside a published list of foreign qualifying central counterparties.
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