Fundamental Review of the Trading Book

The Fundamental Review of the Trading Book and Emerging Markets

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In January 2019, the final piece of Basel III fell into place with the publication of the revised framework for market risk capital, known as the Fundamental Review of the Trading Book (FRTB).

The FRTB makes a number of important changes, including the introduction of a more risk-sensitive standardized approach (SA), desk-level approval for internal models, and a capital add-on for non-modellable risk factors (NMRFs).

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Industry Submits FRTB Consultation Response

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On June 20, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted the industry response to the Basel Committee on Banking Supervision’s consultation on proposed revisions to the market risk framework (known as the Fundamental Review of the Trading Book (FRTB)).  The changes proposed in the consultation improve the FRTB’s operational robustness, mitigate potentially adverse impacts, and address many of the issues with the FRTB’s initial calibration, particularly for the standard rules.

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Industry Submits FRTB Consultation Response

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On June 20, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted the industry response to the Basel Committee on Banking Supervision’s consultation on proposed revisions to the market risk framework (known as the Fundamental Review of the Trading Book (FRTB)).  The changes proposed in the consultation improve the FRTB’s operational robustness, mitigate potentially adverse impacts, and address many of the issues with the FRTB’s initial calibration, particularly for the standard rules.

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Trading Book Capital Conferences in London, New York & Toronto

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ISDA leads the industry working groups on the critical topic of trading book capital. In the coming weeks we will be offering full day conferences on FRTB, Counterparty Risk and CVA in London, New York and Toronto. Program topics include, Trading/Banking Book Boundary, Sensitivity Based Approach, Standardized Approach for Counterparty Credit Risk (SA-CCR), Internal Models Approach and Non Modellable Risk Factors. Each event will be enhanced by keynote addresses from experts in the area including:

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Trading Book Capital Conferences in London, New York & Toronto

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ISDA leads the industry working groups on the critical topic of trading book capital. In the coming weeks we will be offering full day conferences on FRTB, Counterparty Risk and CVA in London, New York and Toronto. Program topics include, Trading/Banking Book Boundary, Sensitivity Based Approach, Standardized Approach for Counterparty Credit Risk (SA-CCR), Internal Models Approach and Non Modellable Risk Factors. Each event will be enhanced by keynote addresses from experts in the area including:

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