FRTB 2.0: The New Market Risk Framework – How much is in the CRR 2?
In January 2019, the BCBS published the final paper on the Fundamental Review of the Trading Book ”Minimum capital requirements for market risk” (BCBS d457). The document replaces the current standard from January 2016 and will, in the view of the BCBS, enter into force on 1 January 2022, along with the rest of the Basel III reforms. An accompanying explanatory note (BCBS d457 Note) contains the background, objectives, and impact analyses. According to the explanatory note, the changes in this paper will profoundly reduce the increase in capital requirements over Basel 2.5 compared to the 2016 standard.
We summarised the significant changes to the current standard of January 2016 (BCBS d352) and the consultative document of March 2018 (BCBS d436).
In June 2019 the CRR 2 with the first part of the European implementation of the Fundamental Review of the Trading Book enters into force. The regulation considers proposed changes of the revised BCBS paper but defers many amendments to a delegated act, EBA RTSs and EBA guidelines. We summarised the most significant changes and resulting timeline on the following one-pager.