Basel FRTB capital impact study confused by outliers

Louie Woodall
10 Dec 2020

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Three systemic banks that submitted data to the Basel Committee on Banking Supervision (BCBS) on the effects of capital rule changes were branded “outliers” by the standard-setter for “overly conservative” assumptions concerning the revised market risk framework. One of the outliers projected that its market risk capital requirement would jump 531% once the new rules were fully phased in.

The latest Basel III monitoring exercise, released today (December 10), shows the estimated capital impact

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