On January 10, 2022, ISDA published a whitepaper, Capitalization of Equity Investment in Funds Under the FRTB Framework.
Funds perform a key role in the economy, and banks play an important part in facilitating indirect investments in funds for their clients, offering structured investment and hedging solutions and providing an effective and liquid market. However, the treatment of equity investments in funds (EIIFs) under the Fundamental Review of the Trading Book is very conservative and may unduly increase the cost of providing fund investment solutions.
This paper outlines the various regulatory prescribed methodologies and the operational challenges faced by banks in implementing them. The paper also explores vendor solutions and proposes alternative methods for calculating capital requirements for EIIFs.
Documents (1) for Capitalization of Equity Investments in Funds Under the FRTB
Latest
Joint Trades Submit Letter to BCBS Calling for Recalibration of Cryptoasset Prudential Standards
ISDA, in partnership with a coalition of leading global financial trade associations (“Joint Trades”), and with advisory support from Boston Consulting Group (BCG), Ashurst, and Sullivan & Cromwell, submitted a letter to the Basel Committee on Banking Supervision (BCBS). The...
ISDA Response on Common Carbon Data Model
On August 12, ISDA responded to a consultation from the Climate Data Steering Committee (CDSC) on a Common Carbon Credit Data Model. ISDA members believe the Group-of-20 carbon data model initiative is a positive step in addressing data gaps and...
Joint Response on RBA Consultation
On August 11, ISDA and FIA submitted a joint response to the Reserve Bank of Australia (RBA) on its consultation on guidance for Australia’s clearing and settlement facility resolution regime. The associations welcome publication of the draft guidance, which provides...
SwapsInfo H1 2025 and Q2 2025
Interest rate derivatives (IRD) trading activity increased in the first half of 2025, driven by continued interest rate volatility, evolving central bank policy expectations and persistent macroeconomic uncertainty. Trading in index credit derivatives also rose, as market participants responded to...