pc
nid 91093
Mar 05, 2026
ggallwey@vixio.com
Chile
Financial Markets Commission
financial services
124% of draft length
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1818 charsChile's Financial Market Commission Launches Consultation on Market Risk-Weighted Assets Adjustments
On March 5, 2026, the Financial Market Commission (CMF) of Chile launched a public consultation on proposed amendments to Chapter 21-7 of the Updated Compilation of Banking Standards (RAN). The consultation period runs for five weeks and aims to refine how banks calculate Risk-Weighted Assets for Market Risk (APRM) under Basel III standards.
The CMF proposes two key adjustments to better reflect risk management practices by financial institutions. First, it seeks to recalibrate the vertical adjustment parameter from the current 10 percent to 7 percent, aligning with local market characteristics and calibration results for basis and gap risks. Second, it proposes enhancements to existing guidelines for excluding derivatives from interest rate risk calculations, allowing full compensation of matched derivative positions even when not strictly identical, consistent with Basel standards.
The estimated impact of implementing both adjustments would reduce system-wide APRM by approximately 23 percent. The CMF projects these changes would apply from July 2026 and would reduce capital requirements in the short term while narrowing the gap between Chilean banking's risk-weighted asset density and that observed in other jurisdictions. The adjustments form part of a medium-term plan evaluating more sophisticated methodologies for APRM calculation to improve risk measurement and management.
The complete proposal is available in the Regulatory Consultation section of the CMF's institutional website, accompanied by a Regulatory Report detailing primary contents and impact assessment.
**References:**
Financial Market Commission (CMF), "CMF publica en consulta ajustes normativos en la determinación de los Activos Ponderados por Riesgo de Mercado," March 5, 2026, available at: https://www.cmfchile.cl/
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2261 charsChile's Financial Market Commission Launches Consultation on Market Risk-Weighted Assets Adjustments
On March 5, 2026, the Chilean Financial Market Commission (CMF) launched a public consultation on proposed amendments to Chapter 21-7 of the Updated Compilation of Banking Regulations (RAN) governing the calculation of market risk-weighted assets (MRWA) for banks.
The proposal forms part of the CMF’s ongoing evaluation of the implementation of Basel III capital standards in Chile and aims to improve the risk sensitivity of the simplified standardized approach currently used to calculate market risk capital requirements. The CMF concluded that transitioning to more complex approaches under the Fundamental Review of the Trading Book (FRTB) framework would impose significant operational and data requirements on domestic banks and may not be proportionate to the characteristics of the Chilean financial system.
Under the proposal, the CMF would maintain the simplified standardized methodology based on the maturity approach for measuring interest rate risk in trading books while introducing targeted adjustments to better reflect local market conditions.
The proposed amendments include:
Calibration of the vertical adjustment parameter: The prudential charge applied to imperfect offsetting between asset and liability positions would be reduced from 10 percent to 7 percent, reflecting locally calibrated estimates of basis risk (2 percent) and gap risk (5 percent).
Clarification of derivative netting rules: The regulation would allow positions in highly similar derivatives to be fully offset when calculating interest rate risk, even where small differences exist in maturity or contractual rates, provided these differences do not materially affect valuation.
According to the CMF’s regulatory impact analysis, the adjustments would reduce market risk-weighted assets across the Chilean banking system by approximately 23%, resulting in a modest decline in total risk-weighted assets and an estimated 35-basis-point increase in the system’s capital adequacy ratio.
If adopted, the amendments would enter into force in July 2026.
The consultation is open for five weeks, with comments due by April 8, 2026. Stakeholders may submit comments during the consultation period through the “Regulations Under Review” section of the CMF website .