PRA relief to save banks up to 33% on VAR-based charges

UK banks with big trading desks will be allowed to offset capital hikes incurred because of coronavirus-inspired volatility, the Prudential Regulation Authority has said. The maximum relief would lower value-at-risk based charges by one-third.

One part of a bank’s market risk capital requirement is calculated by taking the average daily VAR measure and applying a multiplier. The multiplier is set at x3 by default, but ratchets up if a bank suffers actual trading losses that exceed its VAR

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