Regulatory Alerts2015-10-22
Added
Capital requirements for exposures to central counterparties
The Bank of Israel amended Proper Conduct of Banking Business Directives 203 and 204 to implement Basel Committee guidelines on capital requirements for exposures to central counterparties. The revisions introduce a detailed framework differentiating between central counterparties and qualifying central counterparties, applying a 2 percent risk weight to clearing member exposures to qualifying entities while assigning relevant counterparty risk weights to nonqualifying exposures. Contributions to default funds for nonqualifying counterparties are weighted at 1,250 percent, and exposures to clients active on the stock market are capitalized as bilateral trades including CVA risk. These provisions take effect on July 1, 2016, with a transitional provision allowing the Tel Aviv Stock Exchange to be regarded as a qualifying central counterparty until June 30, 2017.
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