Significant changes have been introduced to the Market Risk Capital framework in the Fundamental Review of the Trading Book (FRTB). Thus, number of revisions have been made to reduce the conservatism and operational burden of the NMRF framework in final revisions to the Minimum Capital Requirements for Market Risk. For instance, impact assessment of the new amendments to the framework provided in the revised BCBS’s paper is estimated to result in a reduction of 60 % of the amount of NMRF capital requirement. Despite new FRTB revisions, NMRFs remain one of the key burdens for banks as many implementation challenges remain.

The time has come to deal with those now! Download our offer to read more.