Bank of Russia adjusts market risk regulation of credit institutions
The main change is the exclusion of derivatives hedging bank balance sheet risks, such as interest rate risk, from the market risk assessment. This will ease pressure on banks’ capital and contribute to the further development of risk hedging practices.
Simultaneously, the regulator tightens requirements for the quality of hedging derivatives, which will help exclude the practice of the market risk underestimation. Similar rules and criteria for the quality of derivatives are already applicable to the calculation of open currency positions.
These changes were discussed with the banking community during the regulatory impact assessment in 2023. The results of this discussion were taken into consideration in the final adjustment of the regulation.
Banks will begin to apply new approaches to the market risk assessment starting from 1 July 2024, except the rules for the quality of hedging derivatives, which will become mandatory from 1 October 2024.