FRTB threatens popular hedge fund strategies

Brevan exec says market risk capital rules could force buy side out of certain trades

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FRTB could disrupt 'wing' strategies and products

Popular hedge fund strategies such as volatility trading may become unprofitable under the Basel Committee’s incoming market risk capital rules for banks, market participants say.

The Fundamental review of the trading book (FRTB), due to be implemented in 2019, will dramatically increase the amount banks charge for warehousing exotic market risks. Some asset managers are already claiming these costs will discourage the trading of illiquid risks and render certain strategies uneconomic.

“This i

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