The Fundamental Review of the Trading Book in the EU

The Fundamental Review of the Trading Book (FRTB)

This report explores the ways in which the Fundamental Review of the Trading Book (FRTB) proposals would impact the ability of EU-based banks to continue operating principal-centric, front-office business and trading models for all relevant asset classes. The regulations require banks to:

  • separates banking book functions from trading book functions so that one book is no longer able to fund the capital needs of the other;
  • establish global standards for the calculation of risk using either the Internal Models Approach (IMA) or the Standardised Approach (SA); and
  • recalibrates liquidity horizons for a range of asset classes.

GreySpark believes that these requirements will force banks to review their business and operational models in order to strategically decide how to reorient the affected lines of business or to close them outright.

In anticipation of the operational and technical challenges associated with the FRTB for banks, GreySpark has launched a new range of consulting services that are specifically tailored to assist the sellside with implementing and complying with the regulations across all affected areas of the business.  GreySpark believes that approaching compliance proactively with a methodology favouring the use of precise, granular data will help the sellside get ahead of their compliance requirements.