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.
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
Technology vendor of the year: SS&C Algorithmics
Risk Awards 2026: From cloud, to chips, to maths tricks – vendor getting more out of existing tech
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter
Nomura eyes FRTB models expansion for FX desks
With rates desks all now on FRTB internal models, markets head says FX is next
Half of European banks already embed FRTB into XVA pricing
US and rest of world lag Europe in incorporation of Basel capital rules into XVA calculations, Risk Benchmarking analysis shows
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
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
S&P shutters NMRF solution amid audit questions
Vendors face adverse economics due to low number of IMA banks and prospects of regulatory easing
EC mulls blanket FRTB multiplier
Leaked doc includes bank-specific or industry-wide relief on impact of new EU market risk rules
Basel III alone won’t be capital neutral, says Fed official
Endgame may raise requirements, but will be offset by changes to G-Sib and stress capital buffers
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