Capitalisation of bank exposures to central counterparties - initial consultative document

December 2010

The Basel Committee issued today a consultative paper on the Capitalisation of bank exposures to central counterparties. These proposals relate to the capitalisation of bank exposures to a central counterparty - CCP - and, in particular, default fund exposures. Generally speaking, the Committee proposes that trade exposures to a qualifying CCP will receive a 2% risk weight. In addition, default fund exposures to a CCP will, in accordance with a risk sensitive waterfall approach (based on a CCP's actual financial resources and hypothetical capital requirements), be capitalised according to a method that consistently and simply estimates risk arising from such default fund.

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 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.