Trading Book Capital (APAC): Fundamental Review of the Trading Book “FRTB” & Counterparty Credit Risk

Friday, November 19, 2021

Regulators across the globe are preparing to publish draft rules to implement the final Basel III measures, including the Fundamental Review of the Trading Book (FRTB) – changes that will have a massive impact on how banks manage their trading books, the models they use and the capital they have to hold following implementation in January 2023. Even before then, banks need to get to grips with a variety of other requirements, including the standardized approach (SA) to counterparty credit risk and, in the EU, the introduction of supervisory reporting under the FRTB SA. How are banks preparing for these raft of measures, and what challenges do they present? How might the rules differ across jurisdictions? What lessons were learned during the coronavirus pandemic, and are additional revisions needed as a result?

Spread across three events focused on the US, Europe and Asia-Pacific, these free-to-attend virtual events will provide in-depth analysis on the big issues, with exclusive insight from senior market practitioners and regulators.


Registration for this event will close 2 hours before the live broadcast

This is an ISDA Virtual Conference:

  • Event will be live on November 19, 2021 from 3:00 PM – 6:00 PM HKT  |  Timezone Converter
  • Miss part of the event or aren’t able to watch live? The recording will be available to registrants until December 19, 2021

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Friday, November 19, 2021

Print Agenda Trading Book Capital (APAC): Fundamental Review of the Trading Book “FRTB” & Counterparty Credit Risk for

3:00 PM Introduction and Welcoming Remarks

3:05 PM Keynote Address Daryl Ho

A senior policy-maker discusses how the final Basel III measures will be implemented in APAC

Daryl Ho, Executive Director (Banking Policy), Hong Kong Monetary Authority

3:25 PM FRTB: The Path to Implementation

APAC is expected to publish its draft rules implementing the final Basel III measures, including the FRTB, in October. What approach will APAC likely take, and what implications will this have for market participants? What are the timelines that firms need to meet and what do banks need to do to be ready?

3:55 PM Understanding SA-CCR and CVA

What changes do banks need to make to meet the revised CVA and SA-CCR requirements and what impact will it have on capital levels? This session will review the counterparty credit risk framework and outline the key challenges.

4:15 PM Break

4:25 PM XVAs and Capital Requirements

This session explores how valuation adjustments are treated by the prudential capital framework and how to reflect economic XVA risk management in capital.

3:45 PM Capitalizing ESG

Carbon trading will be a key tool in the shift to a greener economy and essential to meeting net-zero carbon emissions goals. However, the FRTB framework currently imposes an inappropriately high capital charge for carbon – a situation that may restrict growth of this critical market. What changes are necessary to ensure the capital treatment of carbon reflects risk? More broadly, how are banks approaching modelling and stress testing of the risks posed by climate change?

5:05 PM Break

5:10 PM Panel: Lessons Learned from the Covid-19 Crisis

A recent report by the Basel Committee on Banking Supervision concluded that the higher levels of capital and liquidity as a result of Basel III helped banks to absorb the shock of the COVID-19 pandemic and enabled them to continue to provide credit and intermediation services during a period of extreme volatility. However, it also highlighted several areas that may warrant further consideration, including the usability of capital and liquidity buffers, procyclicality in parts of the framework and the impact of the leverage ratio. Is a recalibration needed in any of these areas?

5:55 PM Closing Remarks

6:00 PM Conference Concludes

Agenda is subject to change.

Register Now for Trading Book Capital (APAC): Fundamental Review of the Trading Book “FRTB” & Counterparty Credit Risk
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Daryl Ho

Executive Director (Banking Policy)

Hong Kong Monetary Authority

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The course level is intermediate. Some knowledge of derivatives is assumed. No advance preparation is required.

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