Dealers warn of FRTB impact on funding programmes

Certain notes issued by banks’ treasury functions to raise funding could be caught under new market risk rules, potentially forcing dealers to move them into the trading desk.

Euro medium-term notes (EMTNs), issued to raise funding for banks and generally managed as part of the banking book, are usually hedged using swaps where the structured leg of the swap matches the coupon that is paid out, creating a derivatives leg.

But dealers say it is unclear whether this could mean the notes now have