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.

Download the full 2018 FRTB Special Report in PDF format