Press Service

The Central Bank of the Russian Federation (Bank of Russia)

Press Service

12 Neglinnaya Street, Moscow, 107016 Russia;
www.cbr.ru

Information Notice

Implementation dates for Basel III

On 7 December 2017, the Basel Committee on Banking Supervision (hereinafter, the BCBS) published documents devoted to the finalisation of post-crisis reforms as part of Basel III standards (“Basel III: Finalising post-crisis reforms”) on its website.

The Basel III framework is a central element of the BCBS’s response to the 2008-2009 global financial crisis seeking to enhance the resilience of G20 banking systems. In view of this, the Bank of Russia continues to elaborate and implement various regulatory documents endorsed by BCBS standards, including the ones from Basel III framework, in the Russian banking regulation.

As part of finalising Basel III standards, the BCBS made the following decisions on its components:

— finalising the revision of standardised approaches for credit risk and operational risk assessment in order to enhance their risk sensitivity and the comparability of banks’ capital ratios;

— constraining the use of internally modelled approaches for assessing risk to calculate capital requirements; this includes reducing the number of approaches for credit risk calculation for certain asset classes (with regard to corporate exposures and financial organisations’ exposures, it is prohibited to apply the advanced internal ratings-based approach (hereinafter, the AIRB); with regard to various forms of equity exposures, the application of AIRB is absolutely prohibited);

— introducing a constant ‘output floor’ to ensure a proper correlation between total risk-weighted assets calculated using advanced approaches and a similar measure derived under standardised approaches;

— improving existing approaches for the calculation of the financial leverage ratio; this includes introducing buffers to the financial leverage ratio for global systemically important banks.

Initially planned for implementation in 2019, the final set of regulatory requirements for banks, incorporating all revisions to Basel III and revised approaches for market risk assessment, are now set to be implemented in 2022. The Bank of Russia is going to introduce respective amendments to Russian banking regulation, including those linked to market risk, within the timeframe set out by the BCBS.

As for the output floor measuring the relation between the AIRB-based risk-weighted assets and a similar indicator derived under standardised approaches, the BCBS published a schedule providing for a phased-out increase in the actual floor to the minimum admissible value of 72.5% from 1 January 2027.

The full text of BCBS materials in the English language are available on the website of the Bank for International Settlements at www.bis.org/bcbs/publ/d424.htm.

06 February 2018

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