On 5 July 2024, the Basel Committee on Banking Supervision issued a consultation on two technical amendments to the Basel Framework and seven new FAQs and one updated FAQ.
The two technical amendments:
- Address an inconsistency in the definition of specialised lending between the standardised and internal ratings-based approaches to credit risk.
- Align the formula for aggregating curvature risk positions for Group 2a cryptoasset exposures with the formula applied to other asset classes under the market risk framework.
The FAQs cover:
- The meaning of “last exchange of collateral”.
- When derivative assets should be included in interest earning assets.
- Average annual operational risk losses and their calculation net of recoveries.
- Sensitivities to credit spread risk arising from the correlation trading portfolio.
- Curvature risk capital requirement for the commodity risk class.
- Calculation of capital requirements for modellable risk factors, stressed expected shortfall and default risk charge for reporting at the end of each quarter.
- Scaling factors under the simplified standardised approach.
- Deduction of variation margin from replacement cost in connection with a derivative or bilateral netting contract.
The deadline for comments on the consultation is 19 August 2024.