The capital requirement for the general market risk of trading book securitization positions is determined as the sum of i the valueatrisk based capital requirement for general market risk and ii the stressed valueatrisk based capital requirement for general market risk. The regulatory banking book primarily includes debt securities as part of our liquidity portfolio as well as traded loans which do not fulfill the criteria for being allocated to the regulatory trading book. A mapping of the frtb products product categories on the bcbs crr ii presumptive list to a bank s product list via a gui needs to be implemented. Citigroup hiring capital planning securitization group. Securitization is the process of taking an illiquid asset or group of assets and, through financial engineering, transforming it or them into a security. Regulatory trading book positions mainly include brokerage receivables and derivatives qualifying for hedge accounting. A trading book is the portfolio of financial instruments held by a brokerage or bank. In particular, loans that would have been charged for credit risk, at oneyear 99.
Basel iv revised trading and banking book boundary for. Deutsche bank annual report 20 calculation trading book. Due to the diverse nature of these criteria, care must be taken to consider all of them to assign the position correctly. Securitization positions held in the trading book will be subject to the basel ii securitization charges, similar to securitization positions held in the banking book. So far, the banks have been deciding if a book was a trading book or a banking book, and there was an incentive to arbitrage from this determination, as. Trading book securitization exposure deutsche bank. Ensure clear understanding and manage citis compliance to the strategic design and implementation of the securitization rules by partnering with treasury, finance, trading book risk management. The allocation of assets into the trading book has a significant impact on a firms regulatory risk capital requirements. 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. This book represents an excellent companion to other books on securitization such as salomon smith barney guide to mortgagebacked and assetbacked securities by lakhbir hayre an edited book and a primer on securitization by leon kendall and michael fishman also an edited book. A frtb product list flag for the banking and trading book based on the current presumptive list defined by bcbs crr ii needs to be stored in the systems. The mrsa risk weight calculation for trading book securitization positions is generally based on the same methodologies which apply. The really brief version imo is that, basically, banks could regulatory arbitrage by shifting from the banking book to the trading book. Criteria for trading banking book boundary include instrument structure, accounting treatment, availability of prices, portfolio, desk, hedge relationship etc.