The initial BCBS proposal, in June 1999, was followed by further proposals in January 2001 and by the Basel Committee’s third Consultation Paper CP3 in April 2003. With implementation in the hands of the national bodies, the FSA commenced issue of a series of consultation and discussion papers of which the following are examples:

Individual Capital Adequacy Standards CP136 May 2002 UK implementation of the new Basel and EU capital adequacy standards DP13 July 2002 Report and first consultation on the implementation of the new Basel and EU Capital Adequacy Standards CP189 July 2003 Strengthening capital standards – Including feedback on CP189 January 2005

Feedbacks followed consultations e.g.:

Feedback Statement 05/1 September 2005 Feedback Statement 05/2 December 2005

Papers included, e.g.:

Capital Requirements Directive Implementation–Industry Feedback: Mortgages, Credit Cards and Unsecured Personal Loans FSA March 2005

and FSA Credit Risk Standing Group reports:

Use of External Models and External Data in the IRB Approach undated The procyclicality stress test - Statement of expert group opinion CRSG June 2005 Expert Group paper on Loss Given Default Mortgages CRSG November 2005

The consultation paper:

Strengthening Capital Standards 2 CP 06/3 February 2006

was followed by:

Guidelines on the Application of the Supervisory Review Process under Pillar 2 (CP03 revised) CEBS 25 January 2006

which were followed, in turn, by:

Consultation Paper 12 (CP12) on Stress Testing under the Supervisory Review Process CP12 CEBS 09 June 2006 ICAAP submission – suggested format

An on-going series of seminars and conferences held by the FSA, the Council of Mortgages Lenders (CML) and others has supported the implementation of the Basel II regulatory regime, with its focus upon risk assessment, which has coincided with increasing concern as to the direction of house prices and interest rates and of the ability of borrowers to meet their commitments.

A series of extracts and links to a number of key documents on the developing debate surrounding stress and scenario testing requirements for Basel II and ICAAP assessment is available for download here.

Additional links provided within the document are as follows:

FSA Stress Testing Conference 27 September 2005 Prudential Sourcebook for Banks, Building Societies and Investment Firms

See also FSA Stress Testing and Scenario Analysis 09.10.08

See also the FSA website www.fsa.gov.uk