Basel Committee revises minimum capital requirements for market risk 

On 22nd March 2018 the Basel Committee on Banking Supervision issued Revisions to the minimum capital requirements for market risk for consultation.The proposal addresses the issues that have been identified in the monitoring of the implementation and impact of the market risk standard issued in January 2016 which is part of the so-called Basel III package.

The proposed changes include among other things:

• changes to the measurement of the standardised approach to enhance its risk sensitivity, including changes to FX risk;
• recalibration of standardised approach risk weights applicable to general interest rate risk, FX risk and equity risk;
• clarifications on the scope of exposures that are subject to market risk capital requirements;
• a recalibration of the Basel II standardised approach for banks with less material market risk exposure.

The implementation date of the market risk standard has been extended to 1 January 2022. The comments to the proposal may be sent by 20 June 2018.

10-5-2018