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With rates desks all now on FRTB internal models, markets head says FX is next
Nomura is looking to gain approval to use internal models to calculate its foreign exchange desks’ capital requirements under new trading book rules, following the successful roll-out of the approach across its interest rate business.
Japan is one of the first countries to go live with the Fundamental Review of the Trading Book (FRTB). Most of the country’s banks became subject to the rule in March 2024, but securities dealers, namely Nomura and Daiwa Securities, had a further year to prepare for
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