BCBS 352

The Fundamental Review of the Trading Book

It’s time to start looking into the strategic and business implications of this wide-ranging and fundamental review of the new capital requirements.

With the final set of definitions soon to be released by the Basel Committee on Banking Supervision (BCBS), financial institutions are now keenly anticipating getting final certainty on the proposed regulation. After a lot of debate, substantial progress has been made in defining the new market risk regulatory capital framework and its likely business implications.

The current proposal significantly changes the treatment of market risk for all regulated entities:

  • for the replacement of Value at Risk (VaR) with liquidity-adjusted expected shortfall,
  • more stringent requirements for risk measures with front office P&L data,
  • the update of the Standardised Approach (SA) to align more closely with the Internal Model Approach (IMA),
  • the revision of the rules for determining a clear split of instruments between the trading and the banking books, and
  • the computation of the CVA capital charge as a specific categories within market risk.

Misys is here to help you making sense of the regulations.

In addition to requiring significantly greater computing capacity, the treatment of illiquid instruments will result in a significant increase in required capital.

Risk Management

Regulations

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SA-CCR

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IFRS 9

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BCBS 239

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AnaCredit

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IRRBB

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Regulatory Compliance Insights

The greatest misconceptions about the preparation for FRTB

The Fundamental Review of the Trading Book, also known as the new market risk capital charge, is one of the most significant regulations that financial institutions currently have to plan for. And...

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BCBS 265 – Despite Challenges There Is A Silver Lining for Treasurers

Marcus Cree, Risk Specialist at Misys explains how the Basel Committee’s proposed consultation on the fundamental review of the trading book, or BCBS 265, will present both challenges as well as op...

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Expected shortfall’s redeeming impact

Despite continuing to insist that the move from VaR to Expected Shortfall is wrongheaded and potentially dangerous, David Rowe argues that the shift may have a one important redeeming impact.

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Regulatory compliance: the benefits of a horizontal approach

Find out how a new wave of regulation is highlighting the need for a fundamental change in attitudes.

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Optimising operations in compliance with the FRTB

The Fundamental Review of the Trading Book (FRTB) is forcing banks to rethink their technical infrastructure and, in some cases, their overarching business models.

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