In January 2019, the final piece of Basel III fell into place with the publication of the revised framework for market risk capital, known as the Fundamental Review of the Trading Book (FRTB).
The FRTB makes a number of important changes, including the introduction of a more risk-sensitive standardized approach (SA), desk-level approval for internal models, and a capital add-on for non-modellable risk factors (NMRFs).
With the rules now finalized, attention turns to national implementation, but there are uncertainties about how the rules will be transposed, and whether all jurisdictions will meet the Basel Committee on Banking Supervision’s (BCBS) 2022 implementation target.
For banks in emerging markets, implementation poses some particular challenges. These include barriers to entry, a shortage of data and concerns about the treatment of sovereign debt. While it is important for the framework to be implemented as consistently as possible, it is also imperative that regulators and market participants monitor and understand the impact on emerging market banks and economies.
Click on the PDF below to read the full report.
Want to know more? ISDA is hosting Symposiums in London and New York on FRTB and Counterparty Risk:
Trading Book Capital:
Fundamental Review of the Trading Book “FRTB” & Counterparty Risk
| LONDON
June 13 |
NEW YORK June 20 |
Documents (1) for The Fundamental Review of the Trading Book and Emerging Markets
Latest
Joint Response to EBA Consultation
On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act under Article 8 of...
Response to JSCC on Clearing Fund Consolidation
On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...
Response on CSDD Guidelines
On August 6, ISDA responded to the European Commission’s (EC) consultation on due diligence guidelines under the Corporate Sustainability Due Diligence Directive (CSDDD). While ISDA acknowledges that model contractual clauses can be a helpful resource for in-scope companies, there are...
Response to BoE on Extension of Settlement Hours
On August 6, ISDA responded to the Bank of England’s (BoE) consultation paper on the extension of settlement hours for RTGS and CHAPS, the UK’s high-value payment system. ISDA supports the BoE’s plan to extend RTGS and CHAPS settlement hours...