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.
DTCC muscles in on FRTB data pooling race
Rival to Bloomberg and Markit offerings claims ability to squash banks’ NMRF exposure by 50%
FRTB: industry pushes to use own quotes in risk factor modelling
Isda working group proposes use of own quotes to minimise non-modellable risk factors
Q&A: Asia caught in the Basel crossfire, says Andrew Sheng
Veteran regulator says international standards may be the wrong medicine for emerging markets
FRTB to create winners and losers on the buy side
Wider spreads could hit returns, but some funds eye opening in exotic and securitised markets
JP Morgan hires Credit Suisse’s FRTB lead
John Mitchell led various FRTB work streams at the Swiss bank
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
HSBC’s model risk chief departs
Exit follows February reshuffle of UK lender’s global risk analytics unit
Malaysia set to delay FRTB implementation
Local lenders wait on central bank’s interpretation of Basel standards before upgrading IT infrastructure
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
Asian privacy laws obstruct FRTB data pooling efforts
Bank scepticism and regulatory hurdles likely to inhibit cross-border information sharing
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Scrap the gold plate: Mnuchin goes global on bank rules
Treasury converges to international standards, but leverage ratio exception may delay Basel deal
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
FRTB threatens Canadian bond market, dealers say
Modelling the risk factors of Canadian corporate debt is “almost impossible”
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
Banks worry FRTB will fracture Asian trading desks
Rules could produce “lots of little country desks”, warns StanChart market risk head
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Delay revised Basel capital rules, say bankers
Regulatory heads at JP Morgan and BNP Paribas recommend regulatory recess
FRTB threatens popular hedge fund strategies
Brevan exec says market risk capital rules could force buy side out of certain trades
Industry divided on case for European phase-in of FRTB
Isda AGM: transition period may allow time for Basel to recalibrate rules, panellists note
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds