Executive Summary Under the Fundamental Review of the Trading Book (FRTB), banks using the Internal Models Approach (IMA) must demonstrate that risk factors are supported by sufficient observable market data. This assessment is performed through the Risk Factor Eligibility Test (RFET). Risk factors that fail RFET become Non-Modellable Risk Factors (NMRFs), attracting additional capital charges […]
Strategic Implications for Market Risk and Counterparty Credit Risk Executive Overview The publication of the UK’s final Basel 3.1 rules in January 2026 has brought long-awaited clarity to the regulatory agenda, while also confirming a delay to implementation. The UK authorities have now confirmed that Basel 3.1 will come into force on 1 January 2027, […]
The final rules for the Fundamental Review of the Trading Book (FRTB) regulations were published in January and although many questions around the detail remain unknown, we do know the changes are coming and that now is the time to prepare. FRTB, part of the Basel III rules which were finally published in January 2016, […]