Search results with tag "Trading book"
Basel Committee on Banking Supervision Consultative …
www.bis.org2 Fundamental review of the trading book: A revised market risk framework The trading book/banking book boundary The Committee believes that the definition of the regulatory boundary between the trading book and banking book has been a source of weakness in the design of the current regime. A key determinant of
THE NEW “BASEL IV” WHAT CHANGED? - Deloitte
www2.deloitte.comAbs (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.
Basel Committee on Banking Supervision
www.bis.orgMinimum 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).
Basel Committee on Banking Supervision
www.bis.orgThe 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
Basel Committee on Banking Supervision Consultative …
www.bis.orgbook 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 …
Basel Committee on Banking Supervision
www.bis.orgfor 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
Basel Committee on Banking Supervision Consultative …
www.bis.orgBasel Committee on Banking Supervision Consultative Document . Fundamental review of : the trading book: outstanding issues . Issued for comment by 20February 2015
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