FRTB special report 2018
In early October, figures from the Basel Committee on Banking Supervision confirmed what banks have known for some time: the Fundamental Review of the Trading Book (FRTB) will spark a vast increase in the cost of market-making to the point that, for some products, it will no longer make sense to continue doing so.
The Basel Committee’s survey of almost 100 banks must have gone down as smoothly as a pint of icy seawater for dealers still waiting anxiously for the rules to be finalised before year-end. The largest lenders – so-called global systemically important banks, or G-Sibs – can expect their market risk capital requirements to increase by more than half under the regime.
Little wonder then that banks in many smaller regional markets – those obliged to implement Basel standards as Group of 20 signatories, but lacking the deep and mature capital markets of other jurisdictions – have called on global watchdogs to moderate the standardised approach that most will opt for, decrying the methodology as too complex.
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Critics of the Basel Committee’s Fundamental Review of the Trading Book are wrong, write John Beckwith and Sanjay Sharma
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs
Japanese banks warn against rushing rules with poor data, and fret over EU delays
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges