Revisions to global rules for bank trading books will result in a halving of the extra capital needed from january 2022 to cover risks from market price swings, the basel. Market risk can be defined as the risk of losses in on and offbalance sheet positions arising from adverse movements in market prices. Finalised in january 2016 as the minimum capital requirements for market risk. Note that the scope of this article is impacted by the march 2018 consultation, i will publish an update soon. Basel eases capital hit from new trading book rules for. On january 14, 2016, the basel committee on banking supervision. On jan 14th 2016, the bcbs released the final regulation on future market risk. Basel iii minimum capital requirements for market risk frtb. The boundary between the banking book and trading book has been revised to reduce incentives for a bank to arbitrage its regulatory capital requirements between the two regulatory books. Basel iii, minimum capital requirements for market risk. Revisions to the january 2016 framework include the following key changes. Proposed changes to the basel capital framework 2016, rush.
Critical analysis of the new basel minimum capital requirements. From a regulatory perspective, market risk stems from all the positions included in banks trading book as well as from commodity and foreign exchange risk positions in the whole balance sheet. Standards minimum capital requirements for market risk, 2016. On january 14, 2016, the basel committee on banking supervision bcbs issued the revised minimum capital requirements for market risk. Revised framework for market risk capital requirements. The introduction of a simplified standardised approach. Book banking book trading book risk credit risk general irr delta csr1 default risk total 12. The main changes to the 2016 market risk framework revisions to the scope of application of the framework. Recalibration of the standardised approach sa to market risk. The main changes to the 2016 market risk framework. Trading book, more commonly known as frtb bcbs, 201, 20162, 20173. As in the january 2016 framework, the core features of the standard include. Internal risk transfers from the trading book to the banking book are not recognised under the framework. Basel committee finalizes longawaited market risk framework.
Publications and updates by the basel committee on banking supervision bcbs, including on topics related to the basel ii framework and its implementation. Supervision bcbs published revised standards for minimum capital requirements for market risk. A revised boundary between the trading book and banking book. The boundary between the trading book and banking book and the scope of. The basel committee on banking supervision has dropped plans for a standardised capital charge for credit spread risk on loans, bonds and other assets held in the banking book. The basel committees oversight body, the group of central bank governors. The basel committee on banking supervision publishes the minimum capital requirements for market risk, 14 january 2016.
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