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.