Regulators’ FRTB estimates based on faulty premise—industry study

US market risk capital requirements could more than double if banks abandon IMA

US regulators may be underestimating the capital impact of proposed trading book rules due to take effect in 18 months, according to a new industry study.

Two industry groups—the International Swaps and Derivatives Association and the Securities Industry and Financial Markets Association—collected market risk data from the eight US global systemically important banks (G-Sibs) as part of their response to the Basel III endgame proposals issued by US prudential regulators in July 2023.  

The study

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