Basel III FAQs on Counterparty Credit Risk Rules

The Basel Committee on Banking Supervision (BCBS) has issued frequently asked questions (FAQs) on Basel III’s counterparty credit risk rules. To promote consistent global implementation of Basel III, the BCBS has agreed to periodically review FAQs and publish answers along with any technical elaboration of the rules text and interpretative guidance that may be necessary.

The Committee has received a number of interpretation questions related to the December 2010 publication of the Basel III regulatory frameworks for capital and liquidity. This publication sets out the second set of frequently asked questions that relate to counterparty credit risk, including the default counterparty credit risk charge, the credit valuation adjustment (CVA) capital charge and asset value correlations.

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