Regulatory Alerts2016-06-21
Added · Updated
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.
Saudi Arabian Monetary Agency
BANKING CONTROL
From : Saudi Arabian Monetary Agency
To : All Banks
Attention : Managing Directors, Chief Executive Officers and General Managers
Subject : Capital requirements for bank exposures to central counterparties
June 2016
.371000101116 : الرقم
1437/09/15 : التاريخ
المرفقات :
Background
The Basel document on capital requirements for bank exposures to central counterparties addresses the following requirements:
- including a single approach for calculating capital requirements for a bank’s exposure that arises from its contributions to the mutualised default fund of a Qualifying CCP (QCCP);
- employing the standardised approach for counterparty credit risk (as opposed to the Current Exposure Method) to measure the hypothetical capital requirement of a CCP;
- including an explicit cap on the capital charges applicable to a bank’s exposures to a QCCP;
- specifying how to treat multi-level client structures whereby an institution clears its trades through intermediaries linked to a CCP; and
- incorporating responses to frequently asked questions posed to the Basel Committee in the course of its work on the final standard.
SAMA has conducted a consultation process with the Saudi Banks in the development of this regulation, which is attached in the annexures containing:
- Annexure 1: Capital requirements for bank exposures to central counterparties (available on BIS website http://www.bis.org/publ/bcbs282.pdf)
- Annexure 2: SAMA’s position on National Discretion
- Annexure 3: Changes in the templates 17.2, 17.4, 17.5.3 and 17.6. Please ensure that these templates are cross-validated and reconciled to other Q17 templates.
- Annexure 4: List of Foreign QCCPs – This is an initial list which will be reviewed on an ongoing basis in future.
- Annexure 5: Frequently Asked Questions (FAQs) and answers
Implementation date
These rules are applicable from 1 January 2017 as specified in the Basel document.
For: Thamer M. AlEssa
Director General of Banking Control
P.O. Box 2992 - Riyadh-11169, Saudi Arabia - Tel : 011-463 3000 - Telex 404390 SJ - Fax : 011-463 2090
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