The Basel Committee has published the results of its interim impact analysis of its fundamental review of the trading book. It assesses the capital impact of proposed revisions to the market framework previously consulted on. 44 banks took part in the study, which showed that the change in market risk capital charges would produce a 4.7% increase in the overall Basel III minimum capital requirement, or 2.3% if excluding the bank with the largest value of market risk-weighted assets. In addition the report found that:

  • the proposed standard would result in a weighted average increase of 74% in aggregate market risk capital;
  • the capital requirement under the proposed internally modelled approaches would result in an increase of 54%; and
  • the capital requirement under the proposed standardised approach is 128% higher than the current standardised approach for market risk.

(Source: Basel Committee Reports on the Trading Book)