Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
Default risk overtook credit spreads to become Japanese dealers’ second-largest source of trading book capital requirements in their first year under the Fundamental Review of the Trading Book (FRTB) – an evolution likely amplified by tariff-induced volatility in April.
Capital requirements for default risk totalled ¥157.7 billion ($1 billion) as of end-March across the country’s top banks, up 17
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