Range accruals under spotlight as Taiwan prepares for FRTB
Taiwanese banks review viability of products offering options on long-dated rates
Dual range accrual products could be in the firing line, as Taiwanese banks review their structured products books ahead of the local introduction of the Basel Committee’s Fundamental Review of the Trading Book (FRTB).
“Banks must balance the value of continuing to develop sophisticated financial products against the new cost that will be incurred under FRTB,” says Guanren Xie, chief risk officer of E.Sun, a mid-sized bank in the country. “If the profits can’t cover the cost, then it would be
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