17.01.2019 / 09:00
FRTB 2019: Most important amendments at a glance
Financial Markets
Scope of application
General Trading book / Banking book boundary: Several clarifications regarding presumptive lists, explicit process for respective deviation
Treatment of fund positions: Softer criteria for trading book allocation
Structural FX positions: Limit for exclusion now linked to FX sensitivity of capital ratio (approval by supervisor needed)
Internal Model
Revised P&L attribution test metrics: Spearman correlation and Kolmogorov-Smirnov test
P&L attribution failure consequence softened: Introduction of traffic light approach
Revision of non-modellable risk factor (NMRF) treatment:
Eased gap / number of observation rules
Common stress period for all NMRF
Recognition of diversification effects
Standardised Approach (SA)
Reduction of risk weights
FX risk: Introduction of „base currency“ approach, allowance of first order „triangulation“ regarding specified currency pairs eligible for SQR(2) rule on risk weights.
Equity and credit spread risk: Simplified approach for index products (no mandatory decomposition anymore)
Curvature charge:
Consistent shocks to similar risk factors
Double-counting FX risk adressed
Removal of cliff effects from aggregation method
Modified „low correlation“ scenario
Simplified SA
Introduction for banks with small or non-complex trading portfolios
Application of Basel 2.5 framework with multipliers per risk class