MAS proposed revisions to the risk-based capital requirements and leverage ratio requirements for banks incorporated in Singapore. These revisions implement the final Basel III reforms published by BCBS, covering the minimum capital requirements for market risk (published in January 2019) and the revised standards for credit risk, credit valuation adjustment, operational risk, output floor, and the leverage ratio (published in December 2017). Comment period on the consultation ends on July 08, 2019 and MAS proposed to implement the revisions from January 01, 2022.
In the consultation document, MAS sets out its policy proposals for implementation of specific aspects of the Basel III reforms:
- MAS intends to adopt the revised credit risk framework, market risk framework, and operational risk framework with proposals on the exercise of national discretions.
- MAS proposes to adopt the phase-in arrangement of BCBS for the output floor calibration.
- MAS proposes to require derivative exposures to be measured in the leverage ratio exposure measure, using the modified standardized approach for measuring counterparty credit risk exposures (SA-CCR), from January 01, 2022. This will harmonize the measurement of derivative exposures between the leverage ratio and the risk-based framework, which will improve the effectiveness of the leverage ratio as a backstop to the risk-based capital requirements
- MAS also proposes to allow banks the option to adopt the modified SA-CCR for calculation of their leverage ratio earlier than January 01, 2022, conditional on their simultaneous or prior adoption of the SA-CCR under the risk-based framework.
Comment Due Date: July 08, 2019
Effective Date: January 01, 2022 (Proposed)
Keywords: Asia Pacific, Singapore, Banking, Basel III, Credit Risk, Market Risk, Operational Risk, Output Floor, Leverage Ratio, Capital Requirements, MAS
BIS and BoE launched the BIS Innovation Hub Center in London, which is the fourth new Innovation Hub Centre to be opened in the past two years.
ESRB published recommendations on the reciprocation of macro-prudential measures in Belgium, France, Luxembourg, Norway, and Sweden.
EC published the Delegated Regulation 2021/931, which supplements the Capital Requirements Regulation (CRR or Regulation 575/2013) with regard to the regulatory technical standards specifying the method for identifying derivative transactions with one or more than one material risk driver.
BCBS is consulting on preliminary proposals for the prudential treatment of cryptoasset exposures of banks.
EBA issued a revised list of validation rules under the implementing technical standards on supervisory reporting.
BIS Innovation Hub, BDF, and SNB announced that, together with a private-sector consortium led by Accenture, they will conduct an experiment using wholesale central bank digital currency (wCBDC) for cross-border settlement.
ESAs published two amended implementing technical standards on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs).
EBA published revised guidelines on major incident reporting under the Payment Service Directive (PSD2).
BCBS updated the year-end and annual average exchange rates in context of the global systemically important bank (G-SIB) assessment exercise.
HKMA issued a circular informing the industry about its intention to revise the target effective dates for the revised frameworks on credit risk, operational risk, output floor, leverage ratio, market risk, and credit valuation adjustment risk.