FRTB: Singapore’s banks eye internal models for forex desks

New market risk regime dangles capital savings for own-models approach

Singapore’s largest lenders are looking at using their own models to calculate capital for foreign exchange trading desks, after recent changes to market risk rules alleviated concerns among Asia’s banks over the uncertain capital impact of the new regime. However, adoption of the internal models approach, or IMA, will not be straightforward, banks warn.

“We are going for IMA,” says Chew Chee Keong, UOB’s managing director for market risk. “We can save capital if we go with IMA for our foreign