Standards minimum capital requirements for market risk, 2016. Basel eases capital hit from new trading book rules for. Basel committee finalizes longawaited market risk framework. Revisions to the january 2016 framework include the following key changes. Supervision bcbs published revised standards for minimum capital requirements for market risk. 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. Note that the scope of this article is impacted by the march 2018 consultation, i will publish an update soon. Revised framework for market risk capital requirements. Basel cuts credit spread charge from banking book work. On january 14, 2016, the basel committee on banking supervision bcbs issued the revised minimum capital requirements for market risk. The basel committees oversight body, the group of central bank governors. On january 14, 2016, the basel committee on banking supervision.
The boundary between the trading book and banking book and the scope of. Finalised in january 2016 as the minimum capital requirements for market risk. A revised boundary between the trading book and banking book. Basel iii, minimum capital requirements for market risk. On jan 14th 2016, the bcbs released the final regulation on future market risk. Trading book, more commonly known as frtb bcbs, 201, 20162, 20173.
The main changes to the 2016 market risk framework revisions to the scope of application of the framework. The basel committee is publishing minimum capital requirements. 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 main changes to the 2016 market risk framework. Market risk can be defined as the risk of losses in on and offbalance sheet positions arising from adverse movements in market prices. As in the january 2016 framework, the core features of the standard include. Publications and updates by the basel committee on banking supervision bcbs, including on topics related to the basel ii framework and its implementation. Publications and updates by the basel committee on banking supervision bcbs, including. The basel committee on banking supervision publishes the minimum capital requirements for market risk, 14 january 2016. Critical analysis of the new basel minimum capital requirements. Amendments to the profit and loss attribution pla framework. 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.