Asian banks cry foul over FRTB’s currency risk weights

Basel’s risk weights under SBA said to unfairly penalise banks reporting forex risk positions in non-G3 currencies

New market risk rules will unfairly penalise lenders that report their foreign exchange positions in less liquid currencies, emerging market lenders claim – putting them at a disadvantage to their international rivals when competing for the same business.

Under the Basel Committee’s Fundamental Review of the Trading Book, two banks opting to use the sensitivities-based approach (SBA) to calculate their market risk can end up facing vastly different capital requirements on the same book of risk