Bank Capital Requirements: Basel Committee Proposes Revisions to Market Risk Capital Requirements

Sullivan & Cromwell LLP - March 29, 2018
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On March 22, 2018, the Basel Committee on Banking Supervision (the “Basel Committee”) proposed revisions to its minimum capital requirements for market risk (the “Consultation”), which would amend the final market risk framework published in January 2016 (commonly referred to as the fundamental review of the trading book or “FRTB”).

The Consultation proposes revisions to both the standardized approach and internal models approach adopted under the FRTB as well as the scope of positions subject to the FRTB.  In addition, the Consultation proposes to implement a revised “simplified alternative” to the standardized approach based on the Basel II standardized approach, in contrast to a simplified version of the FRTB’s standardized approach proposed in June 2017.

The Consultation also amends the implementation date for Pillar 3 market risk disclosure requirements to January 1, 2022, which aligns with the revised implementation date for the FRTB as announced in connection with the December 2017 finalization of the Basel III capital framework (commonly referred to as “Basel IV”).

Comments on the Consultation are due by June 20, 2018.