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 of the look-through approach under the sensitivities-based method and the default risk charge.
This paper sets out the industry position on best practice as it is applied to the current regulation. It also makes recommendations for improvements that would help to clarify regulatory requirements for the CTP to ensure alignment with how banks manage the risk of such products and support a globally consistent approach to the CTP to maintain liquidity in this important market.
Click on the attached PDF to read the full report.
Documents (1) for The Impact of the FRTB on Correlation Trading
Latest
ISDA ALF: Katherine Tew Darras Opening Remarks
ISDA Annual Legal Forum London, February 11, 2026 Opening Remarks Katherine Tew Darras ISDA General Counsel Good morning and welcome to ISDA’s Annual Legal Forum. Thank you for joining us today and thanks to our platinum sponsors – Cleary...
Maintaining Focus on Basel III Endgame Recalibration
In its original form, the US Basel III endgame proposal would have resulted in disproportionate increases in capital for trading book activities, forcing banks to make difficult choices about their participation in certain businesses. After two-and-a-half years, a revised proposal...
IRRBB Management in EMDEs
Interest rate risk in the banking book (IRRBB) has become a growing priority for banks and regulators in emerging market and developing economies (EMDEs). As many of these countries face monetary tightening cycles and ongoing macroeconomic volatility, bank balance sheets...
Response to CPMI-IOSCO on Consultation
On February 5, ISDA and FIA responded to the Committee on Payments and Market Infrastructures (CPMI) and International Organization of Securities Commissions (IOSCO) consultation on the management of general business risks and general business losses by financial market infrastructures (FMIs)....