FRTB
WHAT IS THIS? The Fundamental Review of the Trading Book (FRTB) is a set of market risk capital rules designed to replace a series of patches introduced after the financial crisis. It seeks to better-capture tail risk, to redraw the boundary between banking and trading books, and to raise the bar for internal models.
Permanent FRTB reforms seen as vital for IMA adoption
Temporary relief granted in June has done little to encourage internal model use in Europe
FRTB implementation: an uneven playing field
How market risk leaders are navigating FRTB strategy, capital impacts and the practical challenges of implementation
EU’s plan to get competitive faces big legislative hurdles
Large and controversial legislative package may be too amorphous to deliver results quickly
Equity VAR at top US banks hits highest level since 2020
Goldman Sachs, Morgan Stanley and JP Morgan lead surge; Citi bucks trend with unusual negative reading
Europe’s banks can’t agree on how to fix the output floor
Some want market risk excluded, while others push for greater savings from credit modelling
Banks welcome UK IMA eligibility test delay, but some want more
Risk Live: PRA extends monitoring for ‘Spearman’ test, while US regulators drop correlation metric
US regulators cut FRTB’s IMA capital hit by 59%, Isda finds
Trade body pushes for further changes to cross-product netting, default risk charge
US FRTB glitch could spit out negative capital charges
Effort to recognise risk diversification between IMA and standardised approach went too far
Europe’s next chore: cleaning a floor made messy by the US
Rejection of Basel III’s output floor leaves EU with some difficult decisions to make
European Commission plans permanent changes to FRTB
EU legislator will start work on new rules later this year to ensure level playing field with US
One thing missing from US Basel III proposal: a deadline
Without a deadline, risk teams will struggle to secure resources to begin implementation projects
BoE’s Bailey expects global consensus on FRTB internal models
Isda AGM: UK is reviewing proposals from US and EU regulators before finalising its IMA rules
Dealers push for more revisions to Basel III endgame
Isda AGM: Goldman, JP Morgan bankers want changes on cross-product netting, CVA and default risk charges
StanChart: UK, EU should copy US ‘commercial’ Basel III
Isda AGM: Exec warns divergent Basel III rules will push trading into less-regulated entities
Isda’s Basel III playbook: speak softly and carry a big QIS
Scott O’Malia on capital reforms, repo markets and tokenised collateral
ING tops EU peers with hedge-heavy CVA charges
Bank’s €59.4bn CVA hedges dominated by non-CDS instruments
Can the US FRTB revamp make the IMA great again?
Banks are finally presented with a viable internal models framework under Basel III’s market risk rules
UK rethinking tougher capital rules for US bank subsidiaries
US endgame draft would trigger UK Basel III trap floor for foreign banks, but PRA is reviewing
UBS’s market RWAs fall below pre-FRTB levels
Charges drop 15.8% in Q4 as legacy assets continue to roll off
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
Eight US dealers set to dodge FRTB application
Revised trading-activity thresholds would narrow scope of market risk framework