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

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

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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

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