BCBS addresses cryptoasset exposures, IRRBB, and third-party risk

The Basel Committee on Banking Supervision (BCBS) published the final disclosure framework for cryptoasset exposures and finalized targeted adjustments to its standard on interest rate risk in the banking book (IRRBB). Also published was a proposal on the principles for sound management of third-party risk.

Final disclosure framework for crypto-asset exposures. In addition to the disclosure framework, the Basel Committee also published targeted amendments to its crypto-asset standard to tighten the criteria for certain stablecoins to receive a preferential regulatory treatment. The implementation date for both standards is January 01, 2026. The final disclosure framework includes a set of standardized tables and templates covering banks' cryptoasset exposures. These require banks to disclose qualitative information on their crypto-asset-related activities and quantitative information on the capital and liquidity requirements for their crypto-asset exposures. Furthermore, the targeted amendments to the crypto-asset prudential standard aim to further promote a consistent understanding of the standard, particularly regarding the criteria for stablecoins to receive a preferential "Group 1b" regulatory treatment. Various other technical amendments clarify other aspects of the standard.

Targeted adjustments to IRRBB standard. The targeted adjustments to the specified interest rate shocks in the IRRBB standard are consistent with commitments in the standard to periodically update their calibration. The implementation date for the revised standard is January 01, 2026. These targeted changes have been implemented to address problems with how the current methodology captures interest rate changes during periods when rates are close to zero. The Basel Committee also incorporated targeted adjustments to the current methodology used to calculate the shocks, including:

• Expansion of the time series used in the calibration from December 2015 to December 2023

• Replacement of the global shock factors with local shock factors calculated directly for each currency using the averages of absolute changes in interest rates calculated over a rolling six-month period

• Move from a 99^th percentile value in determining the shock factor to a 99.9^th percentile value, to maintain sufficient conservatism in the proposed recalibration

• Reducing the rounding of the interest rate shocks from a multiple of 50 basis points to a multiple of 25 basis points

Proposed principles for management of third-party risk. The consultative document consists of 12 high-level principles offering guidance on effectively managing and supervising risks from third-party arrangements. The principles introduce the concept of a third-party life cycle and emphasize overarching concepts such as criticality and proportionality. Furthermore, they delve into the topics of supply chain risk and concentration risk. They also highlight the importance of supervisory coordination and dialog across sectors and borders. The comment period for this proposal ends on October 09, 2024.

Related links

• Crypto-asset disclosures standard

• Proposal on third-party risk principles

• IRRBB amendments