2016年-德勤全球_Taking_a_closer_look_17页_1mb

Summary of Deloitte's FRTB Analysis

Core Content

The document provides an in-depth analysis of the Fundamental Review of the Trading Book (FRTB), highlighting its implications for banks, particularly in terms of capital impact, processes and controls, IT and data requirements, and regulatory challenges. It also outlines strategic considerations for banks to optimize their operations under the new regulatory framework.

Main Points

1. Bank-Wide Impact of the FRTB

• Capital Impact and Business Strategy: Banks must understand and adapt to the capital changes caused by FRTB. This will influence future business strategies.
• Processes and Controls: FRTB introduces significant changes in risk, finance, and front office processes. A robust and compliant framework is essential.
• IT, Data, and Implementation: IT systems across multiple departments will require development. Early documentation of requirements is crucial to avoid missing key elements.

2. Timeline for FRTB Implementation

• The regulation comes into force for capital requirements at the end of 2019.
• Transitional arrangements and parallel calculations are in place from January 1, 2019.

3. Regulatory Uncertainty

• Ambiguities in the rules may lead to different interpretations and capital outcomes.
• Banks face a dilemma between implementing under current interpretations or waiting for further clarification.

4. P&L Attribution and Risk Models

• Ambiguity exists around whether risk theoretical P&L should be calculated using risk models or front office pricing models.
• This affects the implementation of the Internal Models Approach (IMA) and could lead to different outcomes in terms of capital usage.

5. Non-Modellable Risk Factors (NMRF)

• A conservative interpretation of NMRF can result in prohibitive capital costs.
• Finding a "golden source" of market data is a critical mitigation initiative.

6. FRTB-Efficient Front Office

• Trading desks may shift between sensitivity-based and IMA approaches.
• Strategic input from the front office is necessary to ensure regulatory compliance aligns with business benefits.

7. Capital Optimization and Desk Structure

• Capital allocation across desks is a key strategic tool.
• Optimizing desk structure and size can significantly impact IMA approval and capital costs.

8. FRTB and CVA (Credit Valuation Adjustment)

• Regulators are overhauling the CVA VaR framework, introducing a sensitivities-based approach for SA-CVA.
• IMA-CVA is no longer an option, limiting design choices.
• SA-CVA is expected to be more capital-intensive than the current approach, with BA-CVA as a fallback.

9. Liquidity Horizons and Capital Impact

• Raising liquidity horizons can reduce capital charges by breaking hedges and allowing more liquid risk factors to drop out of expected shortfall calculations.
• This can lead to a capital reduction of up to 5-10 percent.

10. Trading Book/Banking Book Boundary

• A more objective boundary is being established to prevent capital arbitrage.
• Internal risk transfers (IRT) are now more onerous, increasing compliance costs.

11. Increased Supervisory Scrutiny

• Banks will face greater regulatory oversight and may need to consult more closely with supervisors.
• Supervisors have the authority to reject risk management strategies and specific transactions.

12. Public Disclosures and System Enhancements

• Re-designations between regulatory books may require public disclosure.
• Banks must enhance systems and controls to ensure segregation between regulatory books and manage external hedges effectively.

13. Stakeholder Engagement and Strategic Restructuring

• Any front office restructuring must involve stakeholder buy-in.
• Optimization decisions should be evaluated on three key business dimensions: cost impact, alignment with FRTB rules, and business logic.

14. FRTB Toolkit for Ongoing Optimization

• Optimization and restructuring will continue beyond FRTB go-live.
• The goal is to define an ongoing approach and secure agreement on the scale of required changes.

Key Insights

• Capital Impact: Understanding capital allocation across desks and business areas is crucial for shaping strategic responses to FRTB.
• Capital Optimization: Banks that optimize their front office will gain a competitive advantage.
• Strategic Planning: Early engagement with regulators and internal stakeholders is vital to avoid duplication and unintended consequences.
• Implementation Challenges: The FRTB is more complex than previous frameworks, requiring significant changes in processes, systems, and data management.

FRTB Program Structures

• FRTB programs vary across the industry, influenced by internal structures.
• Key workstreams include:
  • Front office
  • Reporting and disclosure
  • Models and methodology
  • IT and infrastructure
  • Process and controls
  • Data
  • QIS and analytics
  • Regulatory liaison
  • Finance

Deloitte Global FRTB Contacts

Global Financial Services Leadership

• Robert Contri: Global Leader, Financial Services IndustryDTTL
  +1 212 436 2043 | bcontri@deloitte.com

• Anna Celner: Global Leader, Banking and Securities DTL
  +41582796850 | acelner@deloitte.ch

• Rick Porter: Global Leader, Financial Services Risk Advisory DTTL
  +1 561 962 7792 | rickporter@deloitte.com

• Edward Hida: Global Leader, Risk and Capital Management DTTL
  +1 212 436 4854 | ehida@deloitte.com

FRTB Country Specialists

• Australia: Kevin Nixon, Timothy Oldham, Steven Cunico
• Brazil: Rodrigo Mendes Duarte
• Canada: Azer Hann, Mario El-khoury, Robert Cranmer
• France: Frederic Bujoc, Samuel Feron
• Germany: Joerg Engels, Frank Mueller
• Italy: Paolo Gianturco
• Japan: Tsuyoshi Oyama
• Luxemburg: Peters Jean Philippe, Martin Flaunet
• South Africa: Wayne Savage, Monique De Waal
• United Kingdom: Zeshan Choudhry, Daniel Mayer, Peter McCloskey, Francesco Bellasi
• United States: Edward Hida, Craig Brown, Sean Hirsch

Conclusion

The FRTB represents a significant regulatory shift, requiring banks to re-evaluate their capital management, risk processes, and IT systems. Strategic planning, stakeholder engagement, and early implementation are critical to navigating the changes successfully. Deloitte provides support through its global network of experts, offering guidance and tools to help banks adapt and optimize under the new framework.