Regulators and banks clash on FRTB capital impact study

Basel and EBA call out two banks for using “overly conservative” survey assumptions

FRTB file

The Basel Committee on Banking Supervision and the European Banking Authority have taken exception to the results offered by two major banks in their latest monitoring exercise, and have screened them out of the sample – sparking fresh controversy over the capital impact of new trading book capital rules on fund-linked structured products.

Regulators appear to suspect the two banks of gaming their inputs to make the potential increase in capital requirements for some products appear prohibitive

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