FRTB: Navigating the complex reporting requirements in the US

In July 2023, the US federal registry published the long-awaited Notice of Proposed Rulemaking (NPRM), which aligns the market-risk related capital requirements with the Fundamental Review of the Trading Book (FRTB) from the Basel Committee on Banking Supervision. The tight deadlines and experience with these complex rules globally point to a challenging period for US banks to prepare for successful implementation and compliance.

In this virtual event, MSCI experts discussed the challenges of implementing FRTB and how the U.S. rules differ from global regulations. They introduced MSCI’s one-stop solution designed to help banks meet regulatory requirements and reviewed its validation through unit testing. The session focused on the Standardized Approach, with a brief overview of the Internal Models Approach.

Watch this replay to explore:

• Generic overview on FRTB: Challenges in implementation
• Differences of the US rules from the global standard
• How can MSCI solutions be leveraged by clients for navigating the reporting obligations?
• Validation via unit testing: ISDA and Fed