Fundamental Review of the Trading Book

End-to-End FRTB Advisory

FRTB is more complex than the existing framework. It is important that bank engage actively in order to avoid duplicating efforts and mitigate the significant potential of unintended consequences. With major framework changes, such as enhanced disclosure, and increased requirements for Risk-Finance alignment, framework challenges posed by the FRTB should be given significant consideration.

FRTB is significantly more complex than the existing capital framework for Market Risk. Some of the major changes in the revised framework include new calibration methodologies across all asset classes, Banking Book / Trading Book classifications, desk structure mandates and increased requirements for Risk-Finance alignment.

Deloitte provides tailored services for banks looking to implement the most extensive overhaul of the Basel Committee on Banking Supervision’s regulatory market risk framework. We can help banks emerge from the implementation process with an effective and sustainable architecture that supports the bank’s business while withstanding future regulatory change. 

Gap Assessment: Experienced support for identification of gaps in current state as against FRTB guidelines. Insights on requirements ranging from data, system and desk to sensitivity calculation, governance, policies and reporting requirements. Remedial recommendations in line with market best practice along with a roadmap approach and with robust check points helps ensure the gaps are identified are addressed. 

Implementation: Deloitte has built our FRTB Tool, to help Banks in their FRTB journey. The tool offers functionality for FRTB capital charge calculation as per Standardised Approach (SA), regulatory reporting in issued templates, customizable internal reports and an analytics dashboard with graphical representation of different metrics. Intermediary calculations at every step are auto-generated to allow for auditability. The tool is complete with its user manual and methodology document. 

UAT Testing Support: Deloitte also offers UAT support to Banks looking for expertise in FRTB implementation testing. Deloitte’s UAT plan involves operational as well as methodological tests. The test cases can be segregated in different phases covering data flow, trading products coverage, SA methodology, assumptions and model choices, output and result testing, stress testing, scenario testing and reporting tests. Each test case will contain expected results along with testing evidence.

Methodology Support and Design Solutioning: Experienced and specialized support for risk methodology and quant functions, prototyping models, and tactical solutions. We can provide regulatory interpretation, peer benchmarking and front-to-back IT infrastructure solutioning, as well as advising on the building of FRTB frameworks.

Validation: Independent validation including methodological and operational review of the FRTB framework and benchmarking to market best practice to provide confidence in the system and implementation. 

Program Support and Defining Target Operating Model: Review of existing target operating model for Trading and Market Risk teams, FRTB process benchmarking and review of business requirements against the bank’s strategic objectives. We can develop recommendations for an end-to-end target operating model that is FRTB compliant and focused on alleviating pain points for the business.

Training: Interactive training sessions covering FRTB methodology, changes from previous requirements and key considerations for Banks in their FRTB journey. This will help upskill stakeholders in the Bank, ranging from senior management, risk officers to internal audit teams, and will be an important part of the learning and development journey for the team that will be on the ground and part of the everyday operations once FRTB is live. 

Bespoke Support: Includes specialist secondments to non-audit clients, training on quantitative matters, risk advisory support and provision of market insights impacting treasury functions. 

The Team

Our Treasury and Financial Risk Advisory team comprises experienced advisory specialists, including qualified Chartered Accountants, CFA Charter holders, Financial Risk Management (FRM) Charter holders and Treasury Consultants. They have experience in implementing FRTB in some of the largest banks in the Middle East. 

Get in touch

Steve Punch

Steve Punch

Partner | Financial Risk and Regulatory Advisory

Steve is a Partner in Deloitte’s Financial Risk and Regulatory Advisory and has over 30 years experience working with banks in Europe, Asia Pacific, and the Middle East. He works with regulators, bank... More

Syed Sohaib Moid

Syed Sohaib Moid

Partner | Risk Advisory | Treasury, Market & Liquidity Risk

Sohaib is a Director within Deloitte Middle East’s Risk Advisory Practice. He has over 14 years of experience supporting Banks, Organizations, and Regulators on various advisory projects. He is a memb... More