Understandably, to date most of the effort for banks tended to focus on the capital and business impact of FRTB. Consultations, quantitative impact studies (QISs) and internal projects revolved around the impact on firm and trading desk capital, using various Internal Model Approval and Revised Standard Approach scenarios, plus an assessment of Internal Model eligibility.
Although there is still uncertainty regarding the scale of capital impact, it falls within tight parameters, as neatly expressed in the recent ISDA FRTB QIS4 Refresh summary slide, which puts capital increase factor in the range of 2.4 (all desks on Standard Approach) and 1.5 (All desks successfully on IMA).
