On 30 October GFMA, ISDA and IIF wrote to the Group of Governors and Heads of Supervision (GHOS) and the Basel Committee on Banking Supervision in respect of the Fundamental Review of the Trading Book (FRTB). The letter identifies aspects of the framework that require further consideration. Highlighted issues include:

  • Non risk sensitive measures will drive the capital outcomes;
  • The Standardised Approach will not be a credible fall-back to the Internal Models Approach, unless the calibration is improved;
  • Capital charges on sovereign bonds and equities are inconsistent with the underlying risk;
  • Punitive treatment of securitised products;
  • Need to review the impact on emerging market assets; and
  • More time needed for calibration of the profit and loss attribution test.