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‘Finalized,’ but Far from the Finish Line – Preparing for the Next Evolution of FRTB

While the final FRTB text has some important changes from the fourth Quantitative Impact Study (QIS) of July 2015, including an extra year for implementation and a reduced Residual Risk Add-on.

Even with an “extra” year, implementing FRTB by the deadline will be a herculean task for many banks, and the capital impact of the regulation could be substantial – to the tune of up to a 40% market risk capital increase compared to the current framework, as estimated by the BCBS.

This white paper breaks down the requirements, methodologies and formulas relating to the 'final' FRTB text. It further provides a more simplified understanding of the potential IT challenges and costs ahead.