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

Friday, November 19 to Thursday, December 16, 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.


This is a pre-recorded Virtual Conference




Recording available until December 16, 2021


This is an ISDA Virtual Conference:

  • This is a recording of the ISDA Trading Book Capital (EMEA) virtual conference which took place on November 16, 2021
  • Registrants will have access to the recording until 5:00 PM EST on December 16, 2021
  • After submitting your registration you will receive a confirmation email with a link to view the documents and recordings


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Friday, November 19, 2021

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

9:00 AM Introduction and Welcoming Remarks Scott O’Malia

Scott O’Malia, Chief Executive Officer, ISDA

9:05 AM Keynote Address David Phillips

A senior policy-maker discusses the changes to Internal Models from the impending IBOR transition and how Benchmarking can help moving forward.

David Phillips, Head of Traded Risk Measurement, Traded Risk, Supervisory Risk Specialists, Bank of England

9:25 AM FRTB: The Path to Implementation Adolfo Montoro

The EU is expected to publish its draft rules implementing the final Basel III measures, including the FRTB, in October. What approach will Europe 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?

Adolfo Montoro, Director, Global Market Risk Analytics, Bank of America

9:55 AM Understanding SA-CCR and CVA Alessandro Evangelista

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.

Alessandro Evangelista, Counterparty Risk Lead, NatWest Markets

10:15 AM Break

10:25 AM XVAs and Capital Requirements Franz Lorenz

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

Franz Lorenz, Director, Financial Services, KPMG AG Wirtschaftsprüfungsgesellschaft

10:40 AM Capitalizing ESG Gregg Jones, Lee Perkin

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?

Gregg Jones, Director, Risk and Capital, ISDA
Lee Perkin, Managing Director, KPMG

11:00 AM Break

11:10 AM Panel: Lessons Learned from the Covid-19 Crisis Panayiotis Dionysopoulos, Dale Butler, Veronique Ormezzano, Robert Smith, Katherine Wolicki

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?

Moderator: Panayiotis Dionysopoulos, Head of Capital, ISDA
Dale Butler, Executive Director, EMEA Office of Regulatory Affairs, J.P.Morgan
Veronique Ormezzano, Head of Group Prudential Affairs, BNP Paribas
Robert Smith, Partner, KPMG
Katherine Wolicki, Global Head of Regulatory Policy and Engagement for Group Risk, HSBC

11:55 AM Closing Remarks Robert Smith

Robert Smith, Partner, KPMG

12:05 PM Conference Concludes

Register Now for Trading Book Capital (EMEA): Fundamental Review of the Trading Book “FRTB” & Counterparty Credit Risk
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Dale Butler

Executive Director, EMEA Office of Regulatory Affairs


Panayiotis Dionysopoulos

Head of Capital



Alessandro Evangelista

Counterparty Risk Lead

NatWest Markets

Gregg Jones

Director, Risk and Capital



Franz Lorenz

Director, Financial Services

KPMG AG Wirtschaftsprüfungsgesellschaft

Adolfo Montoro

Director, Global Market Risk Analytics

Bank of America

Veronique Ormezzano

Head of Group Prudential Affairs

BNP Paribas


Scott O’Malia

Chief Executive Officer



Lee Perkin

Managing Director



David Phillips

Head of Traded Risk Measurement, Traded Risk, Supervisory Risk Specialists

Bank of England

Robert Smith




Katherine Wolicki

Global Head of Regulatory Policy and Engagement for Group Risk



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

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