On December 20, 2010, the Basel Committee released a consultative paper, Capitalisation of bank exposures to central counterparties, which gives interested stakeholders an opportunity to comment on proposed regulatory capital adequacy rules relative to exposures to CCPs.
Under its proposals, the BIS would largely defer to the Committee on Payment and Settlement Systems (the CPSS) and the Technical Committee of IOSCO with respect to what constitutes a qualifying CCP. It notes that their review is continuing. Interestingly, the proposals would increase the capital charges on exposures to CCPs over that applicable under Basel ll. The theory would appear to be that capital exposures on OTC derivatives exposures are increasing more and that therefore the G20 mandate to encourage clearing through CCPs is still met.
The capital charge would be based on the sum of the value of posted collateral, mark-to-market exposures and potential future exposures. However, there would be no capital charge "where collateral posted by a bank in connection with trades with a compliant CCP has been segregated and is remote from the bankruptcy of the firm". There is also a rule which in very limited circumstances would extend the benefit of the CCP capital treatment to indirect clearers.
The Basel Committee is accepting comments on the proposed rules text until February 4, 2011. The new rules are intended to be finalized by September 2011 and implemented effective January 1, 2013.
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