Basel to scrap automatic fails for P&L test

“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints

Basel offers easier ride to desks that “have not performed so poorly”

International regulators have proposed major changes to market risk capital rules that were originally finalised more than two years ago, including a revamp of the crucial test that banks must pass if they want to model their own capital requirements.

Banks had argued the original profit-and-loss (P&L) attribution test was too hard to pass and would force many trading desks on to the regulator-set standardised capital requirements instead. Under proposals published on March 22 by the Basel

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