Industry Submits FRTB Consultation Response

On June 20, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted the industry response to the Basel Committee on Banking Supervision’s consultation on proposed revisions to the market risk framework (known as the Fundamental Review of the Trading Book (FRTB)).  The changes proposed in the consultation improve the FRTB’s operational robustness, mitigate potentially adverse impacts, and address many of the issues with the FRTB’s initial calibration, particularly for the standard rules.

The revised standardised approach (SA) addresses many shortcomings of the earlier standard. However, the industry believes further changes are necessary – in particular on non-modellable risk factors (NMRFs), which remain an area of concern as the associated capital is still excessive.

Click on the PDF below to read the full submission.

Documents (1) for Industry Submits FRTB Consultation Response

FRTB Impact on Correlation Trading

The capitalization of the correlation trading portfolio (CTP) under the Fundamental Review of the Trading Book will have an adverse economic impact for users of these instruments. In particular, there is a lack of clarity and consistency in the application...

A Path to Greater CFTC-SEC Alignment

Earlier this week, the Commodity Futures Trading Commission (CFTC) and the Securities and Exchange Commission (SEC) held a roundtable on regulatory harmonization – an initiative we wholeheartedly support. The US regulatory framework has evolved over time to facilitate financial markets...