Banking book

Positions held to maturity or for the long term, usually loans and deposits, valued on accrual. They attract credit and interest rate risk capital.

Where you will meet it

Banking book comes up in 4 learning outcome notes across the FRM syllabus. A few of them:

• Banks
  FRM Part I · Financial markets and products

  “A bank's principal risks are credit, market, operational and liquidity risk, with interest rate risk in the banking book as an important relative.”

• Fundamental Review of the Trading Book
  FRM Part II · Market risk measurement and management

  “Banks decided by their own trading intent which positions sat in the trading book, where capital was lower than in the banking book.”

• Basel III: Finalising post-crisis reforms
  FRM Part II · Operational risk and resilience

  “Financial is the absolute net trading book result plus the absolute net banking book result.”

• Banks
  FRM Part I · Financial markets and products

  “The banking book holds loans, deposits and other positions the bank intends to hold to maturity.”

See also

Interest rate risk

All terms beginning with B · FRM glossary

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