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.
BNP, Deutsche, SocGen face steep RWAs surge under FRTB SA
Pro forma disclosures for output floor show 2.5–2.8x increases if banks used only standardised formulas – far above peers
Interest rate risk rules need more work, says Fed’s Barr
Former vice-chair for supervision also tells Risk.net his redraft of Basel III would have softened NMRFs
Regulatory capital calculation product of the year: S&P Global Market Intelligence
S&P Global Market Intelligence’s win highlights its Traded Market Risk Solution’s effectiveness in meeting the stringent requirements of FRTB
European regulator praises Japan’s ‘smart’ NMRF manoeuvre
Comments come after revelation that Nomura is able to reverse NMRF status for risk factors
Nomura’s ES requirement swings 75% in turbulent debut
New gauge for modelling interest rate desks’ charges ranged from ¥23bn to ¥41bn over the course of Q1
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work