Dealers seek FRTB carve-out for Libor transition

Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor

calculator-help
FRTB safe harbour will be granted for Libor replacement project, banks hope

Banks are planning to ask regulators for capital relief during attempts to move roughly $370 trillion in swaps notional away from Libor to new interest rate benchmarks.

Under incoming market risk capital rules – the Fundamental Review of the Trading Book – banks that model their own requirements will face a capital add-on for all risk factors not backed by a minimum level of trading. Studies have estimated these less-liquid portions of the portfolio could account for 30% of the total capital

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: