EU offers reprieve for fund-linked derivatives trades

Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights

Near miss

Two years ago, investment banks were left aghast, as new trading book capital rules threatened to crush fund-linked structured products under heavy capital requirements.

Rules drafted by the Basel Committee on Banking Supervision effectively excluded fund-linked structured products from most of the methods banks will use to calculate capital requirements under the Fundamental Review of the Trading Book (FRTB).

The remaining alternative was a regulator-set fallback approach that resulted in a

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

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 individual account here