FRTB survey

Our survey of major banks shows they are making good progress towards the implementation of the FRTB but significant challenges remain in areas such as:

• IT architecture - banks are making major investments in their IT architecture to support FRTB and many are implementing completely new systems
• Modelling - modellability of risk factors continues to be an issue that many banks are struggling with
• P&L test - banks continue to be concerned that, despite their investment in modelling and IT, they may not pass the P&L test for certain trading desks and will be forced onto the Standardised Approach