FRTB threatens Canadian bond market, dealers say
Modelling the risk factors of Canadian corporate debt is “almost impossible”
The Basel Committee on Banking Supervision’s incoming market risk capital framework could force dealers out of the Canadian corporate bond market.
Dealers say they lack the requisite data to classify the risks of rarely traded instruments – such as the debt of Canadian companies – as modellable under the new regime, known as the Fundamental Review of the Trading Book, or FRTB. Products that reference so-called non-modellable risk factors (NMRF) will attract regulatory capital add-ons when the
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