FRTB – Special report 2019
Light is beginning to emerge at the end of the tunnel for the Basel Committee on Banking Supervision’s Fundamental Review of the Trading Book (FRTB).
The first iteration of the revised framework was published in January 2016, with an implementation date of January 2019. However, that go-live date was pushed back to the start of 2022 on completion of the Basel III reforms.
The changes will likely bring consequences, say market participants. The updated framework reinforces the divide between trading and banking books, shakes up the approval process for the internal models approach and provides a more risk-sensitive standardised approach.
Even with a two-and-a-half-year window, a year is likely needed for model approval, and up to another before that for parallel runs, making 2019 the year for banks to decide how they will implement FRTB.
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
New market risk regime dangles capital savings for own-models approach
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
Revisions to market risk rules fail to ease complexities of internal models approach
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Each jurisdiction must produce its own version of FRTB; until then, banks are hanging back
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Ratio of standardised approach to IMA capital estimated to increase
Some European banks plan to lobby ECB for relief when rules are transposed to local law