March 5, 2024 (NO COMMENTS)
Canadian banks are pioneering users of new and untested trading book capital rules. And what they’re discovering about the treatment of fund-linked derivatives may be unwelcome news for countries set to follow in their footsteps.
The new rules under the Fundamental Review of the Trading Book (FRTB) impose heavy capital requirements on structured products with a performance linked to investment funds – especially those that don’t allow a so-called look-through approach.
“It’s not like it’s just a