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THE NEW “BASEL IV” WHAT CHANGED? - Deloitte

www2.deloitte.com

Abs (Net P&L Trading Book + Abs (Net P&L Banking Book) Market Risk More Defined Regulatory Boundary Between Banking and Trading Book The committee have further set our guidance to help banks with the classification of the instruments in the trading and banking book based on liquidity of instruments and the ability to value them on a daily basis.

  Book, Trading, Banking, Boundary, Banking book, Trading book, Trading and banking book

Basel Committee on Banking Supervision Consultative

www.bis.org

book and the banking book, as well as between banking book portfolios that are subject to different accounting treatments. This is particularly important given the enhancements to the capital treatment of positions in the trading book, including the Committee’s ongoing l …

  Book, Trading, Banking, Consultative, Banking book, Trading book

Basel Committee on Banking Supervision

www.bis.org

Minimum capital requirements for market risk 3 RBC25 Boundary between the banking book and the trading book This chapter sets out the instruments to be included in the trading book (which are subject to market risk capital requirements) and those to be included in the banking book (which are subject to credit risk capital requirements).

  Book, Market, Trading, Banking, Boundary, Banking book, Trading book, For market

Basel Committee on Banking Supervision

www.bis.org

for OTC derivative transactions booked in either the trading book or in the banking book. In particular, it applies the Revised Framework’s approaches of risk weighting credit exposures to CCR and updates the estimation of EAD for CCR exposures. The Revised Framework

  Book, Revised, Trading, Banking, Banking book, Trading book

Basel Committee on Banking Supervision

www.bis.org

The revised boundary treatment retains the link between the regulatory trading book and the set of instruments that banks generally hold for trading purposes. At the same time, it aims to address weaknesses previously seen in the boundary between the regulatory banking book and trading book by

  Book, Revised, Trading, Banking, Boundary, Banking book, Trading book, Revised boundary

Basel Committee on Banking Supervision

www.bis.org

(i) the treatment of internal risk transfers of equity risk and interest rate risk between the banking book and the trading book, to supplement the existing treatment of internaltransfers of credit

  Risks, Rates, Committees, Book, Interest, Supervision, Banking, Committee on banking supervision, Interest rate risk, Banking book

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