BoE puts American spin on fix for FRTB’s govvies dilemma

Four jurisdictions find four different ways to resolve Basel market risk capital quirk

Credit: Risk.net montage

The UK’s banking supervisor has taken a leaf out of its US counterparts’ proposals to fix a quirk in trading book capital rules. It’s the latest in a long line of workarounds designed to ease banks into using internal models to calculate market risk capital requirements for sovereign bonds. In all, sister title Risk.net counts four variations already adopted in other jurisdictions. 

Such variation is unhelpful in an asset class dominated by global players, which will potentially end up with

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

Register for Central Banking

All fields are mandatory unless otherwise highlighted

This address will be used to create your account

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account

.