Trading Book Définition

The revised trading banking book boundary starting in 2012 the basel committee published several consultation papers on a fundamental review of the trading book frtb to adapt existing rules for the capitalisation of market risk. These can include equities debt commodities foreign exchange derivatives and other financial contracts. Traders maintain a book to facilitate.

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Is this interpretation correct.

Trading book définition. A book is a record of all the positions held by a trader. The trading book is required under basel ii and iii to be marked to market on a daily basis. A repurchase agreement is a form of short term borrowing for dealers in government securities. One of the most apparent changes to the trading book regime is the revised trading banking book boundary definition.

A trading book is the portfolio of financial instruments held by a brokerage or bank. For this purpose trading related repo style transactions are defined as those that meet the requirements of bipru 1 2 4 r bipru 1 2 10 r and bipru 1 2 12 r and both legs. Per rbc25 16 if an instrument is re classified as an accounting trading asset or liability the switch from the banking book to the trading book can be automatic without supervisory approval. The portfolio of financial instruments in the trading book may be resold to benefit from short term price fluctuations used for hedging or traded to fulfil the firm s or clients needs.

The value at risk for assets in the trading book is measured on a ten day time horizont under basel ii. The trading book refers to assets held by a bank that are available for sale and hence regularly traded. However the movement of an instrument from the trading book to the banking book requires supervisory approval. The banking book is a term for assets on a bank s balance sheet that are expected to be held to maturity usually consisting of customer loans to and deposits from retail and corporate customers.

Term trading related repo style transactions that a firm accounts for in its non trading book may be included in the trading book for capital requirement purposes so long as all such repo style transactions are included. The trading book is required under basel ii and iii to be marked to market daily. The banking book can also include those derivatives that are used to hedge exposures arising from the banking book activity including interest rate risk. This record shows the total amount of long and short positions that the trader has undertaken.

The value at risk var for assets in the trading book is measured on a 10 day time horizon under basel ii. A financial institution s trading book comprises assets intended for active trading. The trading book is an accounting term that refers to assets held by a bank that are regularly traded.