Counterparty credit risk rules - Basel III FAQs

The Basel Committee on Banking Supervision today issued frequently asked questions on Basel III's counterparty credit risk rules. To promote consistent global implementation of Basel III, the Committee has agreed to periodically review frequently asked questions 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. Today's publication sets out the first set of FAQs that relate to the counterparty credit risk rules, including the default counterparty credit risk charge, the credit valuation adjustment (CVA) capital charge and asset value correlations.