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

On BCBS consultative document on capital requirements for market risk

On 22 March 2018, the Basel Committee on Banking Supervision (hereinafter, the BCBS) published on its website the document ‘Revisions to the minimum capital requirements for market risk’ for discussion with the banking community. The document clarifies a number of issues which arose in the course of monitoring the implementation and regulatory impact of the BCBS Standard ‘Minimum capital requirements for market risk’ (January 2016).

The consultative document introduces the following key changes to the market risk framework vs the 2016 standard (for details, see the annexes to the consultative document):

— Changes to the measurement of the standardised approach to enhance risk sensitivity including FX risk;

— Recalibration of standardised approach risk weights for general interest, FX and equity risk;

— Revisions to the assessment process to determine whether a bank’s internal risk management models appropriately reflect the risks of individual trading desks;

— Clarifications to the requirements for identification of risk factors that are eligible for internal modelling;

— Clarifications to the scope of exposures that are subject to market risk capital requirements.

In addition, following the 2017 public consultation held by the BCBS on proposals for a simplified alternative to the standardised approach, for use by banks without global operations it is proposed that the current standardised Basel II approach for market risk be applied; it is also proposed that it is recalibrated to exclude regulatory arbitrage related to the new standardised approach.

Both the BCBS press release and the consultative document are available in English on the Bank for International Settlements website: https://www.bis.org/press/p180322.htm and https://www.bis.org/bcbs/publ/d436.htm respectively.

The Bank of Russia welcomes comments from credit institutions on the consultative document, to be sent before 9 June 2018 to des@mail.cbr.ru, please put ‘Market risk document’ in the message subject.

09 April 2018

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