Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Capital requirements have been set disproportionately high for carbon emissions trading under trading book capital rules, according to a study published by the International Swaps and Derivatives Association.
“Banks will not allocate scarce capital to businesses that have low return on capital,” says Mark Gheerbrant, global head of risk and capital at Isda. “Imposing disproportionately high capital charges that do not reflect the underlying risk will potentially drive banks away from that
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