The introduction of a simplified standardised approach. Basel cuts credit spread charge from banking book work. Recalibration of the standardised approach sa to market risk. Internal risk transfers from the trading book to the banking book are not recognised under the framework. Finalised in january 2016 as the minimum capital requirements for market risk.
The basel committees oversight body, the group of central bank governors. As in the january 2016 framework, the core features of the standard include. 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. Book banking book trading book risk credit risk general irr delta csr1 default risk total 12. The basel committee is publishing minimum capital requirements. Critical analysis of the new basel minimum capital requirements. The basel committee on banking supervision has today issued standards for interest rate risk in the banking book irrbb.
Publications and updates by the basel committee on banking supervision bcbs, including. Trading book, more commonly known as frtb bcbs, 201, 20162, 20173. Amendments to the profit and loss attribution pla framework. 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. On january 14, 2016, the basel committee on banking supervision bcbs issued the revised minimum capital requirements for market risk. Proposed changes to the basel capital framework 2016, rush. The main changes to the 2016 market risk framework revisions to the scope of application of the framework. Publications and updates by the basel committee on banking supervision bcbs, including on topics related to the basel ii framework and its implementation. A revised boundary between the trading book and banking book. The basel committee on banking supervision publishes the minimum capital requirements for market risk, 14 january 2016. Basel eases capital hit from new trading book rules for. 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.
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. Revisions to the january 2016 framework include the following key changes. On january 14, 2016, the basel committee on banking supervision. On jan 14th 2016, the bcbs released the final regulation on future market risk. Note that the scope of this article is impacted by the march 2018 consultation, i will publish an update soon. The main changes to the 2016 market risk framework. Basel iii minimum capital requirements for market risk frtb. The standards revise the committees 2004 principles for the management and supervision of interest rate risk, which set out supervisory expectations for banks identification, measurement, monitoring and control of irrbb as well as its supervision. Basel committee finalizes longawaited market risk framework. Basel iii, minimum capital requirements for market risk.
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