Balance Sheet and Trading Book Assets ; ; The table below presents those parts of our balance sheet which constitute trading or banking book assets from a regulatory point of view. Regulatory Trading Book Assets as part of the Balance Sheet Dec 31, 2012 in € m. Balance Sheet Trading Book Banking Book1 1 Includes exposure in relation Market exposure refers to the dollar amount of funds, or percentage of a portfolio, invested in a particular type of security, market sector or industry, which is usually expressed as a percentage of total portfolio holdings. When afirmpurchases credit derivative protection against anon-trading book,exposureor against aCCRexposure, it must compute its capital requirement for the hedged asset in accordance with: (1) BIPRU 5.7.16 Rto BIPRU 5.7.25 Rand BIPRU 4.10.49 R (4)to (6) (Unfunded credit protection: Valuation and calculation of risk- In trading, exposure is a general term that can mean three things; the total market value of your trades at open, the total amount of possible risk at any given point & the portion of a fund invested in a particular market or asset.
Securities held in a trading book must be eligible for active trading. Trading books are subject to gains and losses as prices of the included securities change. Trading Book Securitization Exposure For trading book securitization positions not assigned to the correlation trading portfolio , the capital requirement for specific market risk is calculated based on the MRSA. Trading book. A financial institution’s trading book comprises assets intended for active trading. These can include equities, debt, commodities, foreign exchange, derivatives and other financial contracts. The portfolio of financial instruments in the trading book may be resold to benefit from short-term price fluctuations,
19 Sep 2019 SLR, Supplemental Leverage Ratio. TE, Total Exposure. PFE, Potential Future Exposure. ---. FRTB, Fundamental Review of the Trading Book
Counterparty risk in respect of OTC derivatives in the trading book; exposure using a credit derivative booked in its trading book (using an internal hedge), the. 1 Apr 2019 In 2009, the BCBS introduced a set of revisions to the Basel II market risk standards to address the most pressing deficiencies exposed by the
28 Nov 2016 The Value-at-Risk (VaR) for assets in the trading book is measured on It is also concerned with the exposure to other risk factors such as FX apparent changes to the trading book regime is the revised trading/ banking external hedge is recognized as a hedge of a banking book equity exposure.