On October 16, 2012 the IACPM submitted a comment letter to the Basel Committee on Banking Supervision on publication BCBS227 “Capital Requirements for Bank Exposures to Central Counterparties” to clarify the risk weighting of IRB banking book loan exposures hedged with cleared CDS from a qualifying central counterparty. The goal is to ensure the correct understanding how credit risk mitigation may be reflected where the CDS has been cleared on an exchange.
The full letter can be found here.
Basel Committee Rules for Capitalization of Bank Exposures to CCPs
Status: Successfully resolved as of December 2012. The Basel Committee provided an update and clarification of the CCP rules in Basel III counterparty credit risk and exposures to central counterparties – Frequently Asked Questions.