Recommendations for Public Disclosure of Trading and Derivatives Activities of Banks and Securities Firms

Recommendations forPublic Disclosure ofTrading and Derivatives Activitiesof Banks and Securities FirmsBasel Committee on Banking SupervisionandTechnical Committee of the International Organization ofSecurities Commissions (IOSCO)October 1999 Transparency Groupof the Basel Committee on Banking SupervisionChairwoman:Ms Susan KrauseOffice of the Comptroller of the Currency, Washington, D.C.Commission Bancaire et Financière, BrusselsMr Luc van CauterOffice of the Superintendent of Financial InstitutionsCanada, OttawaMs Nancy SinclairCommission Bancaire, ParisMr Christian DelhommeDeutsche Bundesbank, Frankfurt am MainMr Karl-Heinz HillenBundesaufsichtsamt für das Kreditwesen, BerlinMr Michael WendtBanca d’Italia, RomeMr Antonio RenziBank of Japan, TokyoMr Yasuhiro FujieMr Masao YoneyamaFinancial Supervisory Agency, TokyoMr Kozo IshimuraCommission de Surveillance du Secteur Financier,LuxembourgMr Guy HaasDe Nederlandsche Bank, AmsterdamMr Alfred VerhoevenFinansinspektionen, StockholmMs Brita ÅbergEidgenössische Bankenkommission, BernMr Rolf GertschFinancial Services Authority, LondonMs Jane BlackburnBoard of Governors of the Federal Reserve System,Washington, D.C.Mr Gerald EdwardsFederal Reserve Bank of New YorkMs Sarah DahlgrenOffice of the Comptroller of the Currency,Washington, D.C.Mr Tom ReesMs Inga SwannerFederal Deposit Insurance Corporation, Washington,D.C.Mr William A StarkEuropean Commission, BrusselsMr Patrick BradySecretariat of the Basel Committee on BankingSupervision, Bank for International SettlementsMr Magnus Orrell Working Party on the Regulation of Financial Intermediariesof the IOSCO Technical CommitteeChairman:Mr Paul WrightFinancial Services Authority, LondonFormer Chairman:Mr Richard BrittonFinancial Services Authority, LondonAustralian Securities and Investment Commission,SydneyMr Malcolm RodgersCommission des Opérations de Bourse, ParisMr François ChamparnaudCommission Bancaire, ParisMr Olivier PratoBundesaufsichtsamt für den Wertpapierhandel,Frankfurt am MainDr Horst NottmeierDeutsche Bundesbank, Frankfurt am MainMr Werner GehringBundesaufsichtsamt für das Kreditwesen, BerlinMr Uwe NeumannSecurities and Futures Commission, Hong KongMr Richard YinCommissione Nazionale per le Società e la Borsa,RomeMr Carlo BiancheriFinancial Supervisory Agency, TokyoMr Takuji YamadaComisión Nacional Bancaria y de Valores, MexicoCityMr Alfonso OrozcoStichting Toezicht Effectenverkeer, AmsterdamMr Gé OverdevestOntario Securities Commission, TorontoMs Tanis MacLarenCommission des Valeurs Mobilières du Québec,MontrealMr Alain GélinasFinancial Services Board, PretoriaMr Gerry AndersonComisión Nacional del Mercado de Valores, MadridMr Ramiro Martinez-Pardodel ValleFinansinspektionen, StockholmMr Lennart TorstenssonEidgenössische Bankenkommission, BernMr Christopher McHaleFinancial Services Authority, LondonMs Sarah VarneyUnited States Securities and Exchange Commission,Washington, D.C.Mr Michael MacchiaroliCommodities Futures Trading Commission,Washington, D.C.Mr I Michael Greenberger TABLE OF CONTENTSEXECUTIVE SUMMARY ...................................................................................................................................1I.GENERAL REMARKS...............................................................................................................................3(1)Introduction ...............................................................................................................................................3(2)Objective ...................................................................................................................................................4(3)Contents of the report ................................................................................................................................5II.ENHANCING THE TRANSPARENCY OF TRADING AND DERIVATIVES ACTIVITIES............7(1)The importance of achieving transparency of trading and derivatives activities .......................................7(2)Other disclosure initiatives ........................................................................................................................9III.RECOMMENDATIONS ...........................................................................................................................14(1)Qualitative disclosures.............................................................................................................................15(a)Risks and management controls ..........................................................................................................16(b)Market risk..........................................................................................................................................17(c)Credit risk ...........................................................................................................................................18(d)Liquidity risk........................................................