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Fundamental Review of the Trading Book (FRTB) Compliance Benchmark App

Introduction

Revised standards for minimum capital requirements for market risk have been established by the Basel Committee on Banking Supervision and are targeted for adoption by banks in 2019.

The FRTB Benchmark App is designed to aid banks in benchmarking the bank’s and each designated trading desk’s compliance with the FRTB requirements. The App provides a tool for both implementing the requirements and tracking ongoing compliance with the requirements. The App addresses requirements governing the use of the Standardised Approach and the Internal Models Approach.

For more information regarding the FRTB Benchmark App:

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How the App Works

Preview of the Benchmark Questionnaires

Simplify the development of a policy document for each of your bank’s trading desks

Begin by creating a unified, standardized overview of each of your trading desks.

Streamline identification and documentation of the key elements of a trading desk under FRTB (e.g. trading desk strategy).

Determine which desks are impacted by key requirements in the FRTB standards.