On March 24, ISDA submitted a paper to Banco Central do Brazil’s (BCB) on its implementation of the revised market risk framework under the Fundamental Review of the Trading Book (FRTB), which represents an important step toward strengthening prudential standards and enhancing supervisory comparability.

At the same time, certain jurisdiction specific methodological choices, limited optionality and prescriptive implementation requirements could materially increase operational and technological complexity, particularly for internationally active institutions operating global trading books. While such features may appear limited in isolation, their combined effect can require parallel calculation frameworks, reduce economies of scale and increase operational risk, without delivering commensurate improvements in risk sensitivity or supervisory insight.

This paper identifies specific aspects of the Brazilian FRTB implementation where refinements could support a more effective and sustainable framework. These include the treatment of alternative sensitivities and curvature risk, calendar and tenor conventions, foreign exchange shock calibration and several other technical and drafting issues. The recommendations outlined are intended as targeted adjustments that remain consistent with the Basel framework and international practice and would materially improve international alignment, operational efficiency,# and the ongoing resilience of market risk capital implementation in Brazil.