The Basel Committee on Banking Supervision (BCBS) published revised minimum capital requirements for market risk, replacing an earlier version of the standard from January 2016 and incorporating changes that were proposed in a March 2018 consultative document. The revised market-risk framework includes the following key changes:
The revised market risk framework will take effect as of 1 January 2022, concurrent with the implementation of the Basel III reforms endorsed in December 2017. Once implemented, the revised framework is estimated to result in a weighted average increase of about 22% in total market risk capital requirements relative to the Basel 2.5 framework. By contrast, the framework issued in 2016 would have resulted in a weighted average increase of about 40%. The share of risk-weighted assets (RWAs) attributable to market risk remains low, at around 5% of total RWAs.