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

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June 2016

.371000101116 : الرقم

1437/09/15 : التاريخ

المرفقات :

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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.

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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