Capitalisation of bank exposures to central counterparties - consultative paper issued by the Basel Committee

The Basel Committee issued today a consultative paper on the Capitalisation of bank exposures to central counterparties.

The Committee's proposals relate to the capitalisation of bank exposures to a central counterparty - CCP - and, in particular, those related to the capitalisation of default fund exposures. The Committee is engaging in this consultation to give affected parties and interested stakeholders an opportunity to comment on the proposed rules set out in today's publication.  

Mr Mark White, chair of the Basel Committee's Risk Management and Modelling Group and Assistant Superintendent of Canada's Office of the Superintendent of Financial Institutions, noted that "the Committee's intent is to provide incentives for banks to increase the use of CCPs. This is balanced, however, by the need to ensure that the risk arising from banks' exposures to CCPs is adequately capitalised".

The Committee also announced that it will conduct an impact study, which will help in finalising and calibrating the CCP proposals. The impact study will be conducted in coordination with the Committee on Payment and Settlement Systems (CPSS) and the Technical Committee of the International Organization of Securities Commissions (IOSCO). These organisations will communicate with and collect relevant data from the CCPs participating in the impact study. CPSS and IOSCO collectively set the standards for the supervision and oversight of financial market infrastructures - including CCPs - and are currently in the process of reviewing the standards.

The proposed rules for the capitalisation of bank exposures to CCPs will be refined, as necessary, after the completion of this consultation period and impact study. The rules will be finalised once the final CPSS-IOSCO standards are published during 2011. The Committee expects the rules will be implemented in its member jurisdictions by January 2013.

The Basel Committee welcomes comments on the proposed rules text and other issues set out in this consultative document. Comments should be submitted by Friday, 4 February 2011 by email to: baselcommittee@bis.org. Alternatively, comments may be sent by post to the Secretariat of the Basel Committee on Banking Supervision, Bank for International Settlements, CH-4002 Basel, Switzerland. All comments may be published on the Bank for International Settlements's website unless a commenter specifically requests confidential treatment.