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Jul 5, 2022

A Cloud Solution for FRTB Reduces Costs and Saves Time

Fundamental Review of the Trading Book, or FRTB, was introduced following the 2008 global financial crisis as a boundary between the trading book and the banking book. This shifts risk measurement from value at risk to a wider view of market liquidity risk, requiring banks to calculate more complex and risk-sensitive models than in the past.

May 4, 2021

The FRTB deadline is approaching—are you ready?

In 2021, banks in the US must be setting the groundwork for meeting the January 2023 deadline for the Fundamental Review of the Trading Book (FRTB). This year, US regulatory agencies are expected to issue a notice of proposed rulemaking (NPR) that will include finalized rules for FRTB. This will be followed by a hypothetical portfolio exercise and comment period. Because of uncertainty arising from the COVID-19 pandemic, the exact timing of the publication date will be difficult to predict. However, the goal of meeting the 2023 deadline is viewed as a high priority given the need for consistency across jurisdictions in terms of both implementation timing and the capital framework.

Jul 28, 2020

FRTB survey shows firms using the Basel III delay to consider options

The SS&C Algorithmics webinar “FRTB market trends amidst the Basel III delay” held on July 8th provided an opportunity to engage in insightful discussion and gain market-led insights and perspectives with a panel of risk practitioners. The panelists are close to the implementation of the revised market risk capital requirements under the Fundamental Review of the Trading Book (FRTB). The session covered known and emerging FRTB challenges in the current COVID-19 climate, characterized by unprecedented market volatility and uncertainty, counterbalanced by a recent decision by the Basel Committee on Banking Supervision (BCBS) to defer the implementation of the new standards to 2023.

Apr 8, 2020

SS&C Algorithmics clients get ready for FRTB

SS&C Algorithmics FRTB (Fundamental Review of the Trading Book) solution has been available since 2016, with a number of early-adopter clients starting implementation that same year and going into production within months.

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