The Basel Committee on Banking Supervision (BCBS) has published a speech by its Chairman, Stefan Ingves, on its work thus far and its future work agenda.

With regards to future work, and amongst other things, Mr. Ingves stated that:

  • around the end of this year, the BCBS expects to consult on a package of proposals that will enhance the comparability of risk-weighted assets (RWAs) that are calculated using internal ratings-based (IRB) approaches for credit risk. The package will include: (i) constraints on credit risk model parameter estimates, such as restrictions on loss-given-default (LGD) estimates for low-default exposures; (ii) simplification and harmonisation of the credit risk mitigation framework; and (iii) alignment of the definitions of exposures under the IRB and revised standardised approaches;
  • it is expected that the BCBS will issue the second and final consultative proposals on the standardised approaches for credit risk and operational risk by the end of this year;
  • the BCBS will finalise the market risk standard (both the standardised and internal model-based approaches) by year-end;
  • as the consultation on the design of a capital floor has now been completed, work on its calibration is ongoing and closely related to the finalisation of the overall package of reforms; and
  • in January 2015, revised Pillar 3 disclosure requirements were published. Ongoing efforts are focused on consolidating all Basel III disclosure requirements into a comprehensive, coherent and up-to-date Pillar 3 framework. To be completed by end-2016, this work will include the Total Loss Absorbing Capacity standard, market risk, operational risk and capital floors.

View Speech by Stefan Ingves at the IIF Annual Membership Meeting, 10 October 2015