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Tuesday, December 23, 2014

Basel Supervisory Committee Releases Revisions for Standardized Approach to Credit Risk

The Basel Committee on Banking Supervision (BCBS) released a consultative document proposing revisions to the standardized approach for credit risk.

The proposed revisions seek to strengthen the existing regulatory capital standard in several ways: reduced reliance on external credit ratings; enhanced granularity and risk sensitivity; updated risk weight calibrations, which for purposes of this consultation are indicative risk weights and will be further informed based on the results of a quantitative impact study; more comparability with the internal ratings-based (IRB) approach with respect to the definition and treatment of similar exposures; and better clarity on the application of the standards.

In related news The Board of Governors of the Federal Reserve, along with the OCC, and the FDIC, provided a statement released a statement stating that the organizations “will consider the proposals outlined in the consultative paper with the goal of developing a stronger and more transparent risk-based capital framework for the largest institutions.”

Comments on the proposed revisions are due by Friday, March 27, 2015.

Read the BCBS statement.
Read the proposed revisions.

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