The Basel Committee on Banking Supervision (BCBS) has published the results of its interim impact analysis of its fundamental review of the trading book.

The report, which assesses the impact of proposed revisions to the market risk framework set out in two consultative documents published in October 2013 and December 2014, found that among other things:

  • the change in market risk capital charges would produce a 4.7% increase in the overall Basel III minimum capital requirement;
  • compared with the current market risk framework, the proposed standard would result in a weighted average increase of 74% in aggregate market risk capital;
  • compared with the current internally modelled approaches for market risk, the capital requirement under the proposed internally modelled approaches would result in an increase of 54%; and
  • compared with the current standardised approach for market risk, the capital requirement under the proposed standardised approach is 128% higher.

The BCBS expects to finalise the standards before the end of 2015.

View Fundamental review of the trading book – interim impact analysis, 18 November 2015