Libor transition under FRTB
In January 2022, the London Interbank Offered Rate (LIBOR) must be transitioned into the new Basel III paradigm known as the Fundamental Review of the Trading Book or “FRTB.” This paper will discuss the impacts, new requirements, persona analysis, and actionable next steps to help you prepare.
FRTB and LIBOR will need to coexist by the end of 2021, but there is considerable uncertainty as to how this will occur.
Banks and other market participants will need a robust set of models and reporting tools designed to integrate their LIBOR transition solutions seamlessly into their FRTB framework to allow them maximum flexibility as events unfold in the coming two years.
In this paper, we discuss the impacts, new requirements, persona analysis, and actionable next steps to help you prepare.
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