fundamental review of the trading book

Fundamental Review of the Trading BookMinimum Capital Requirements Regulatory Evolution

April 2016

Fundamental Review of the Trading BookExecutive summary

In January 2016, the Basel Committee on Banking Supervision (BCBS) published the final and revised standards for minimum capital requirements for market risk. Over the next few slides we will compare the latest standards to those from the BCBS’s July 2015 Paper and their August 2015 impact study. Among the major changes to the existing regulatory framework, we find:

Goal This document highlights: Guideline updates in respect to the July 2015 BCBS paper on market risk framework New definitions and content Amendments to formulas and financial indicators/coefficients

Copyright © 2016 Accenture All rights reserved.

Revised boundary between the trading book and the banking book A more objective boundary will serve to reduce incentives to arbitrage between the regulatory banking and the trading book, while still being aligned with a bank’s risk management practices. The market making activity is subject to change by the Basel Committee and not fully defined in the last document

Standardized Approach (SA) Most of the risk factors have been revised in their buckets, risk weights and correlations, distinguishing between the delta, vega and the curvature risk charges. In particular, delta Credit Spread Risk (CSR) risk weights and liquidity horizons have been significantly reduced. Other changes touch on the extension of the Default Risk Charge concept and the Residual Risk Add-on (RRAO).

Internal Model Approach (IMA) The regulator has addressed some areas such as the capitalization of risk factors, backtesting, liquidity horizon, quality of the data used to compute the IMA. The regulator has also updated the capital requirements and the default risk formulas.

Supervisory Review Process – the Second Pillar The regulator has conducted an in-depth analysis of the internal risk transfer and the trading book eligibility and provided a minimum set of risk management policies and procedures to be thoroughly documented by financial institutions.

1

Key Enhancements

2

Fundamental Review of the Trading BookIndustry and regulatory reactions: Pros and Cons


The last version of the Fundamental Review of the Trading Book (FRTB) created much discussion within the Industry. While the final version of the standards tried to soften some of the strict requirements of the July 2015 version, others rules have been reinforced. An overview of how the Industry has responded to the new changes is outlined below.

ConsPros Capital requirements have

been reduced. (1) The estimate of an average

variation is softened to +40% in the current capital for trading book positions, instead of +74%.(2)

Distinction made between exotic options (subject to a punitive 1% and «others» softened to 0.01%) in the RRAO’s calculation. The definition of exotic options has been reduced to a certain set of instruments. (1)

Standardized Approach

Increasing the underwriting and funding costs and reducing liquidity in the secondary market due to higher capital charges.(5,6)

Poor distinction between different rating classes due to the lack of granularity among risk weights.(1)

Double counting due to the overlap between historical credit spread and widening default expectations.(6)

ConsPros

Internal Model Approach

As “continuous” and “real data” is not always available, the treatment of many risk factors as non-modelable risk factors could lead to higher charges. (1,6)

Intra-day basis measurement required. Banks may need new infrastructures and operational tools.(1)

More aggressive ES multiplier (increased to 1.5, (1)) and a higher multiplier may diminish positive effects of LH reduction.(7)

IMA is preferred to the standard-based approach (SBA) in certain cases due to the more expensive standard approach.(4)

The liquidity horizon days used for the Expected Shortfall (ES) formula have been reduced.(1)

Liquidity horizons have been reduced for Credit Spread, Equity and FX.(1)

Introduction of backtesting exceptions on very limited occasions.(1)

With the changes to the market risk standards, the industry should reconsider its overall business strategy in the following areas:• A possible reallocation of the portfolios with the aim of eliminating/reducing products strongly affected by the updated rules (e.g. bond

markets, SME credit, securitizations as the residential mortgage-backed securities, emerging markets, small cap equities and FX hedges). (1,6)• As the standard approach for capital charge calculation is mandatory for securitization, making it costly for banks and thus encouraging them

to review their securitization business strategy. (3)

Fundamental Review of the Trading BookRegulatory evolution: Standardized Approach (1 of 4)

Copyright © 2016 Accenture All rights reserved. 3

The new Market Risk Framework published in January 2016 includes a number of changes related to the definition of Curvature risk exposure, RRAO formula and cross currency basis definition

January 2016July 2015

Curvature risk Charge

Instructions: Impact study on the proposed frameworks for market risk and credit valuation adjustment (CVA) risk

New Market Risk Framework

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The curvature risk charge formula states that upward/downward shock sensitivity should be subtracted from the curvature risk charge (CVR). (8)

The positive curvature risk exposures should be ignored, unless they hedge a negative curvature risk exposure. If there is no negative curvature risk exposure, the CRV should be zero. (8)

As previously outlined in the “FAQ: Impact study on the proposed framework frameworks for market risk and CVA risk” the curvature risk charge formula has been modified. Risk-weighted sensitivity for the down shock is added. (10)

The negative curvature risk exposures should be ignored, unless they hedge a positive curvature risk exposure. The curvature risk charge would be zero for negative exposures. (10)

Residual Risks Add-on

The RRAO is to be calculated for any instrument which is subject to vega and curvature risk capital charges and whose payoff cannot be written as a linear combination of plain vanilla options. (8)

The RRAO is defined as a sum of the notional value of instruments bearing residual risks multiplied by a factor of “x” (yet to be confirmed). (8)

In addition to the criteria outlined in the July paper, instruments concerning correlation trading portfolios (except for eligible hedges) are subject to RRAO. Back-to-back transactions, listed instruments or instruments eligible for central clearing are excluded from the RRAO. (10)

The RRAO is a sum of the notional value for instruments with non-linear payoff or for exotic option, multiplied by a risk weight of 1.0% and a risk weight of 0.1% for instruments bearing other residual risks. (10)

August 2015

FAQ: Impact study on the proposed

framework

Highlighted issue (9)

Cross Currency Basis Risk

Factor (1/2)

For general interest rate risk (GIRR), the BCBS added two cross currency basis risk factors (EUR and USD) that have to be considered. (8)

The GIRR should include one of two possible cross currency basis risk factors (over EUR or over USD but not both). (10)



The new Market Risk Framework published in January 2016 includes a number of changes related to the definition of cross currency basis risk, delta CSR bucket scales and delta risk weights reproportioning


Instructions: Impact study on the proposed frameworks for market risk and CVA risk


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Cross Currency Basis Risk

Factor (2/2)

Two cross currency basis risk factors are included for each currency (i.e. each GIRR bucket). (8)

The final release of the regulation specifies that term structure is not recognized as a cross currency basis risk factor (cross currency basis curves are flat) in the GIRR risk. (10)


Delta CSR Buckets

New release provides 16 buckets due to a split of some sectors and the introduction of the sector “Covered bonds”. (10)

Regulation provides 13 buckets both for CSR non-securitizations and securitization (CTP). Buckets assigned based upon credit quality and sector. (8)

Delta Risk Weights

Delta GIRR risk weights have experienced a general increase among all vertex (from 2.4% to 1.5%). (10)

A risk weight of 2.25% is set for inflation and the cross currency basis risk factors. (10)

Delta CSR Non-securitizations in correspondence to the new buckets’ weights range from 0.5% to 12%. (10)

Delta CSR Securitizations (CTP) in correspondence to the new buckets’ weights range from 2% to 16%. (10)

Delta CSR Securitizations (non-CTP), weights have been decreased: for senior investment grades the weights range from 0.8% to 2%, for non-senior Investment grade and high-yield and non-rated multiplication factors are reduced to 1.25 and 1.75. Finally, other sector’s weight has been changed for 3.5%. (10)

For Foreign Exchange Risk a unique risk weight has been set to 30%, except specified currency pairs. (10)

Delta GIRR risk weights vary from 1.6% for lower tenors to 1% for higher tenors. (8)

A risk weight of 1.5% is attributed to inflation and the cross currency basis risk factors. (8)

Delta CSR Non-securitizations, weights range from 2% to 12%. (8)

Delta CSR Securitizations (CTP), weights range from 3% to 17%. (8)

Delta CSR Securitizations (non-CTP), weights have the following scale: for senior investment grades – from 3.5% to 8.5% for non-senior Investment grade and high-yield and non-rated, multiplication factors are 2 and 4; while other sector’s weight is set to 34%. (8)

Foreign Exchange Risk a unique risk weight is set to 15%, except specified currency pairs. (8)



The new Market Risk Framework published in January 2016 also includes changes related to the Standardized Approach framework




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Delta Correlations

Delta CSR Non-securitizations: The delta risk correlation ρkl is set at 99.90% / 65.00% / 35.00% (for non-securitizations) and 99.90% / 80.00% / 40% for securitizations (non-CTP) or a product of the above multipliers depending on the combination between tenors, curves and issuer names. (8)

Correlation parameters across different buckets for Delta CSR Non-securitization are defined by the table for each bucket combination. (8)

Commodity risk: Correlation parameter is set for each bucket and is multiplied by a factor of 99.9% in the case of different vertices or different contract grade or delivery location. (8)

Delta CSR Non-securitizations and Delta CSR securitizations (non-CTP): The same concept of delta risk correlation is applied, except for «other sector» bucket. Capital requirement for this bucket would be equal to the sum of weighted sensitivities. (10)

The calculation procedure of correlation parameters across different buckets for Delta CSR Non-securitization has been modified. (10)

Commodity risk: Correlation parameter is set for each bucket (remain unchanged) and is multiplied by a factor of 99.00% in the case of different vertices or/and by a factor of 99.90% in the case of different contract grade or delivery location. (10)

Vega Risk Sensitivities

The regulation provides insights on vega risk sensitivities for exotic options and excludes from vega calculation CTP securitization tranches which do not have implied volatility. (10)

The regulation provides details only for non-exotic options vega calculation. (8) Highlighted

issue (9)

The correlation parameter between two vega sensitivities is determined by correlation parameter related to similar delta sensitivities, option maturity correlations and underlying maturity correlation. (8)

Correlation parameters related to delta sensitivities are excluded from calculations of vega correlations. (10)Highlighted

issue (9)Vega Risk Correlations



The new Market Risk Framework published in January 2016 includes changes pertaining to risk weights of vega and curvature risks and redefines the concept of default risk charge




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framework

Vega Risk Weights

Vega risk weight is calculated by using a formula that considers liquidity horizons for each vega risk factor and weights of 0.0032 for GIRR and CSR and 55% for other risks.(8)

Vega risk weight formula has been modified and now takes into account lower liquidity horizons for some risk classes and a unique weight of 55% for each risk factor. (10)


The curvature risk weights are equal to the delta risk weights.

For GIRR, the parallel shift of the curve should be based on the highest risk weights across all the tenors.(8)

For FX and Equity the curvature risk weights are equal to the delta risk weights.

For GIRR, CSR and Commodity curvature risk factors, the parallel shift of the curve should be based on the highest delta risk weights for each risk class. (10)

Curvature Risk Weights

Default Risk Charge

The Default Risk Charge (DRC) methodology provides more details on the calculation procedure.

For traded non-securitization credit and equity derivatives, Jump to Default (JTD) amounts should be determined by applying a look-through approach. (10)

Under the DRC for non-securitizations, if the contractual terms of the derivative allow for the unwinding of the instrument with no exposure to default risk, then the JTD is equal to 0. (10)

When the price of an instrument is not linked to the recovery rate of the defaulter, there should be no multiplication of the notional by the Loss Given Default (LGD). (10)

Highlighted issue(9)

Fundamental Review of the Trading BookRegulatory evolution: Internal Model (1 of 2)


The new Market Risk Framework publication includes updates to liquidity horizon, risk factor capitalization and model validation process under the Internal Model Approach




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Liquidity Horizon

The liquidity horizon are set to 10, 20, 60, 120, and 250 days. (8)

The liquidity horizon are set to 10, 20, 60, 120, and 250 days. (8)

Observation Horizon for Stressed ES

For measurements based on stressed observations, banks must identify the most stressful 12 months over an horizon period back to 2005. (8)

For measurements based on stressed observations, banks must identify the most stressful 12 months over an horizon period back to 2007. (10)

Model Validation Standards

Regulator may require additional tests for the model validation using LH, other than those applicable to the risk factors or without using overlapping periods. (8)

Testing with LH other than those applicable is no longer required.

Bank may be required to provide additional model validation information for each day of a 3-year period: VAR at 99% and 97% level, P&L and its p-value. (10)

Capitalization of Risk Factors

The relative weight assigned to the firm’s internal model is not specified.

In the formula for aggregated charge the multiplication factor applies only to the modelable capital charge and is set at the minimum of 1 and may be raised by the Supervisor (by a maximum of 0.33 points) in order to penalize for the negative outcomes of a backtesting. (8)

The relative weight assigned to the firm’s internal model is set to a value of 0.5.

In the formula for aggregated charge the multiplication factor applies only to the modelable capital charge and is set at the minimum of 1.5 and may be raised by the Supervisor (by maximum of 0.5 points) in order to penalize for the negative outcomes of a backtesting. (10)

Fundamental Review of the Trading BookRegulatory evolution: Internal Model (2 of 2)


The new Market Risk Framework published in January 2016 includes changes related to the Standardized Approach framework




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Non-modelable

Risk Factors

The aggregated regulatory capital for unmodelable risk factors is the sum of stress scenarios capital charge for non-modelable risk factors in model-eligible desks. (8)

The concept of non-modelable risk factors arising from idiosyncratic credit spread risk is introduced and is a separated treatment in the capital charge calculation. (10)

“Real” Price

The regulator has added a new requirement to define “real prices”:

• Prices obtained from a third-party vendor when it matches certain requirements listed by the regulator

Moreover, real prices criteria should be assessed on a monthly basis. (10)

Default Risk

Default risk must be measured using VaR model with:

• Weekly calculation frequency• One year LH• One-year time horizon• 99.9 % confidence level (8)

The regulator has introduced a discretion for banks to apply a minimum LH of 60 days to the determination of default risk charges for equity sub-portfolios.

The model must account for the risk in the timing of defaults to capture the relative risk from maturity mismatch of long and short positions. (10)

Backtesting



There may on very rare occasions be a valid reason why a series of accurate desk level models across different banks will produce backtesting exceptions and inadequately track P&L attribution to the front office pricing model. (10)

Trading desks that do not satisfy the minimum backtesting and P&L attribution requirements are ineligible for capitalization under the internal model approach. (8)

A price is considered “real” if:• It arises from a transaction • It is a verifiable price of an actual

transaction• The price is obtained from a committed

quote (8)

Fundamental Review of the Trading BookRegulatory evolution: Other issues


The new Market Risk Framework partially modifies concepts such as Trading Book and Banking Book boundary and Supervisory Review Process and settled the regulatory deadlines




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Market Making

The market maker/dealer exemption set out in this paragraph is subject to change by Basel Committee. (10)

Where a bank demonstrates that it is an active market maker, then a national supervisor may establish a dealer exception for holdings of the other banks, securities firms, and other financial entities capital instruments in the trading book. (8)

Trading Book

Trading book instruments are defined as financial instruments and commodities. (8)

Trading book instruments include financial instruments, foreign exchange and commodities. (10)

To be determined. (8) 1 January 2019: Deadline for the revised market risk framework implementation.

31 December 2019: Deadline for the regulatory reporting by banks based on revised market risk framework. (10)

The Regulator has specified a minimum set of policies and procedures that should be thoroughly documented and that relate to:

Trading book eligibility Internal risk transfers from bank book to trading

book (10)

Dead

lines

Seco

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Supervisory Review Process

Transitional Arrangements

The Regulator states that banks have to define clear policies and procedures to determine if an instrument has to be included in the trading book

The Supervisor will require a bank to change its policies and procedures if they prove to be inappropriate/insufficient for preventing a booking in the trading book not compliant with the principles envisaged by the new regulation. (8)

New Model

Parallel Running

1

Workflow

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Tim

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Systems and Infrastructures

Business Model Strategy

Methodologies and Processes

Go Live

Starting Point

2016

2017

2018

2019

Fundamental Review of the Trading BookWhat’s next?

The FRTB is expected to impact all functions within a financial institution. To efficiently cope with these impacts, we suggest firms take prompt actions at an overall level so they are ready for the go live

Banks should actively manage the upcoming changes and strike a new balance between profitability and capital absorption, through a restructuring of their business model..

Banks face complex implementation of the capital charge calculation both within the SA and the IMA (above all the switch from VaR to ES).

New desk level approach for reporting purposes and validation imposes a change to all the related processes and procedures.

Banks should focus and commit to updating and integrating their systems and infrastructure in order to support the expected calculation and operational burden (e.g. availability of sensitivities, market data, implementation of most sophisticated simulation…).

Hot Topics

Closing implementation of the revised market risk standards by January 2019.

First reporting under the new standards by the end of the year.

Assessment to identify changes in terms of strategy and technical implementation by the end of June.

Overall planning and detailed activities by the end of the year.

Daily parallel running between risk measures (e.g.: VaR vs. ES) for the entire year.

Backtesting activities and what if simulation at the desk level for the entire year.

Implementation of the new investment strategy by the end of the year.

Implementation of a new architecture in terms of data provision, model creation/maintenance and reporting by the end of the year.

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Fundamental Review of the Trading BookContacts


Italy, Central Europe and Greece Spain, Portugal, Africa and Israel

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Austria, Germany and Switzerland

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Norway, Sweden, Denmark, Finland and Latvia

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United Kingdom and Ireland

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France, Netherlands, Belgium and Luxembourg

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References1. Analysis and comparison of Basel Committee on Banking Supervision documents.

– “Instructions: Impact study on the proposed frameworks for market risk and CVA risk.” Access at: http://www.bis.org/bcbs/qis/instr_impact_study_jul15.pdf

– “Minimum capital requirements for market risk.” Access at: http://www.bis.org/bcbs/publ/d352.htm– “Frequently asked questions: Impact study on the proposed frameworks for market risk and CVA risk.” Access at:

https://www.bis.org/bcbs/qis/FAQs_impact_study.pdf2. “Basel Committee softens new rules in bank capital,” Financial Times, January 14, 2016. Access at: http://www.ft.com/intl/cms/s/0/619c95c4-ba1f-11e5-bf7e-8a339b6f2164.html#axzz423vJ5oqu

3. “FRTB―The final rules: What has changed, what has not, and what the BIS does not talk about,” Thomas Orbitz, FRM blog, January 20, 2016. Access at: https://www.linkedin.com/pulse/frtb-final-rules-what-has-changed-bis-does-talk-thomas-obitz-frm4. “Explanatory note on the revised minimum capital requirements for market risk,” Basel Committee on Banking Supervision, January 2016. Access at: http://www.bis.org/bcbs/publ/d352_note.pdf

5. “Market risk framework could reduce liquidity,” Bloomberg for Enterprise, February 9, 2016. Access at:. http://www.bloomberg.com/enterprise/blog/market-risk-framework-could-reduce-liquidity/

6. “Fundamental Review of Trading Book,” ISDA Briefing Notes. April 2015. Access at:

https://www2.isda.org/attachment/NzU1MQ==/FRTB%20Briefing%20Notes%20FINAL.pdf 7. “Final FRTB is a game of give-and-take, say dealers,” Risk.net, January 18, 2016. Access at: http://www.risk.net/risk-magazine/news/2442076/basel-frtb-is-a-game-of-give-and-take-say-dealers8. “Instructions: Impact study on the proposed frameworks for market risk and CVA risk,” Basel Committee on Banking Supervision, July 2015. Access at: http://www.bis.org/bcbs/qis/instr_impact_study_jul15.pdf9. “Frequently Asked Questions: Impact study on the proposed frameworks for market risk and CVA risks”, Banking Supervision, July 2015. Access at: https://www.bis.org/bcbs/qis/FAQs_impact_study.pdf10. “Minimum capital requirements for market risk,” Basel Committee on Banking Supervision, January 2016. Access at: http://www.bis.org/bcbs/publ/d352.htm

14Copyright © 2016 Accenture All rights reserved.

http://www.bis.org/bcbs/qis/instr_impact_study_jul15.pdf



http://www.bis.org/bcbs/publ/d352.htm



https://www.bis.org/bcbs/qis/FAQs_impact_study.pdf


http://www.ft.com/intl/cms/s/0/619c95c4-ba1f-11e5-bf7e-8a339b6f2164.html#axzz423vJ5oqu

http://www.ft.com/intl/cms/s/0/619c95c4-ba1f-11e5-bf7e-8a339b6f2164.html#axzz423vJ5oqu

https://www.linkedin.com/pulse/frtb-final-rules-what-has-changed-bis-does-talk-thomas-obitz-frm

https://www.linkedin.com/pulse/frtb-final-rules-what-has-changed-bis-does-talk-thomas-obitz-frm

http://www.bis.org/bcbs/publ/d352_note.pdf

http://www.bis.org/bcbs/publ/d352_note.pdf

http://www.bloomberg.com/enterprise/blog/market-risk-framework-could-reduce-liquidity/

http://www.bloomberg.com/enterprise/blog/market-risk-framework-could-reduce-liquidity/

http://www.risk.net/risk-magazine/news/2442076/basel-frtb-is-a-game-of-give-and-take-say-dealers

http://www.risk.net/risk-magazine/news/2442076/basel-frtb-is-a-game-of-give-and-take-say-dealers







Fundamental Review of the Trading BookMinimum Capital Requirements Regulatory Evolution

15Copyright © 2016 Accenture All rights reserved.

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