FRTB
WHAT IS THIS? The Fundamental Review of the Trading Book (FRTB) is a set of market risk capital rules designed to replace a series of patches introduced after the financial crisis. It seeks to better-capture tail risk, to redraw the boundary between banking and trading books, and to raise the bar for internal models.
Review of 2024: as markets took a breather, firms switched focus
In the absence of major crises and rules deadlines, financial firms revamped strategy, services and practices
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
Independent audits drive compliance in FRTB data solutions
The EU and the Basel Committee have introduced strict audit standards for data vendors to uphold the FRTB rules. With deadlines approaching, audited solutions are critical for banks to ensure compliance, minimise NMRFs and reduce capital requirements
Driving innovation in risk management and technology
ActiveViam secured three major wins at the Risk Markets Technology Awards 2025 through its commitment to innovation in risk management and technology
Technology vendor of the year: Numerix
Risk Awards 2025: Fincad and PolyPaths deals added coverage; AAD and cloud refactoring boosted speed
Bank risk manager of the year: Intesa Sanpaolo
Risk Awards 2025: Market risk team developed new tools that helped overcome the challenge of FRTB internal models
Finma add-on drives UBS’s market RWAs to eight-year high
Swiss regulator adds $1.4bn to mitigate maturity mismatch risk within IRC
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
Barclays and HSBC opt for FRTB internal models
However, UK pair unlikely to chase approval in time for Basel III go-live in January 2026
Adapting FRTB strategies across Apac markets
As Apac banks face FRTB deadlines, MSCI explores the insights from early adopters that can help them align with requirements
FRTB management solution of the year: Bloomberg
Amid the diverging timeframes and complex requirements of FRTB, Bloomberg offers a consistent, comprehensive and customisable solution for Apac banks preparing for implementation
BNP Paribas exec fears data drought from market’s IMA cuts
Vendors may not step up with critical inputs to support internal models under FRTB
Running the numbers on Barr’s Basel III endgame revisions
Fed vice-chair’s plan to ease capital requirements for big banks still lacks critical details
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
Fed’s Basel III rollback gives clearing units a capital break
Client-cleared trades will be exempt from CVA charges and G-Sib surcharge calculations, says Barr
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test
Some EU banks wanted option to start FRTB on time
Representatives of member states raised possibility with European Commission at July meeting discussing the delay
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
Four EU banks forecast capital hits from final Basel III reforms
BNP Paribas only dealer to disclose hit from FRTB
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
