The Basel Committee on Banking Supervision revised its standard "Minimum Capital Requirements for Market Risk" on 14 January 2019. The standard, which applies from 1 January 2022, is the result of the consultation process on the "Fundamental Review of the Trading Book (FRTB)", which has been ongoing since 2012, and introduces amendments to both the standardised and internal models approaches to determining capital requirements for risk associated with changes in market prices.
The new standardised approach is now mandatory for all banks at group and institution level as an independent model or parallel to the internal model approved by the supervisory authorities for calculating capital requirements. Banks with an internal model must therefore calculate capital requirements at the trading-desk level using both approaches.
In the EU, the new requirements will be implemented in the amendments to the Capital Requirements Regulation, but with an expected application date around 30 June 2023 (four years after the entry into force of the new regulation, which has yet to be finally adopted).