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

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