FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
Revisions to the Basel Committee on Banking Supervision’s market risk framework will increase European banks’ market risk-weighted assets (RWAs) by 105% on average, a study by the European Banking Authority shows.
The 2019 iteration of the Fundamental Review of the Trading Book (FRTB) standard, due to come into force in 2022, will hit those banks using the internal models approach (IMA) hardest, pushing their market RWAs up 108% on average relative to current levels. Those planning to
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