In January 2016, the Basel Committee on Banking Supervision published the standard Minimum capital requirements for market risk. This new market risk standard was developed to address a number of structural shortcomings in the Basel II market risk framework (and its subsequent revisions), and served as a key component of the Basel Committee’s reform of global regulatory standards in response to the global financial crisis. In the time since its publication, the Basel Committee has monitored the pace of implementation of the market risk standard as well as its impact on banks’ market risk capital requirements. In acknowledgment of ongoing challenges related to implementation of the standard, the Basel Committee’s oversight body, the Group of Governors and Heads of Supervision (GHOS), has endorsed an extension of the implementation date to 1 January 2022 (which will constitute both the implementation and regulatory reporting date for the standard). This deferred implementation date is intended to allow banks additional time to develop the systems infrastructure needed to apply the standard and for the Committee to address certain specific outstanding issues.
In order to address the issues with the standard that the Committee has identified, this consultative document proposes a number of revisions to the standard. It also sets out the Committee’s proposals for a simplified alternative to the revised standardised approach to market risk, which take into account responses to the consultative document the Committee issued in June 2017. (…)
The next step
The Committee welcomes comments on all aspects of these proposals. The Committee’s scope of material potential revisions to the revised market risk framework are limited to those included in this consultative document. Respondents are requested to limit their feedback to views on the proposals contained herein. Comments should be uploaded at www.bis.org/commentupload.htm by 20 June 2018. All comments will be published on the website of the Bank for International Settlements unless a respondent requests confidential treatment.
The Committee will assess the impact of these proposals by means of data collected in the end-December 2017 Basel III monitoring exercise. The Committee strongly encourages participating banks to provide complete and robust trading book data submissions for that exercise to facilitate the sufficiency of analyses to inform finalisation of the standard.
(…) In the December 2017 press release on the GHOS’s finalisation of Basel III reforms,9 the GHOS has endorsed the Committee’s proposal to extend the implementation date of the market risk standard to 1 January 2022 (with that date to constitute both the implementation and regulatory reporting date for the revised standard). The Committee intends to finalise any revisions to the market risk standard resultant from this consultative document as soon as practicable in order to allow sufficient time for national implementation and to allow banks the time necessary to develop the systems infrastructure needed to apply the standard. Further, the Committee hereby amends the implementation date for Pillar 3 market risk disclosure requirements to 1 January 2022, to align the date for Pillar 3 requirements with the implementation date for Pillar 1 requirements for market risk.
You can read the full version of this article on the website of the BIS.
Source: https://www.bis.org/
