What is the Risk Factor Eligibility Test (RFET)?
The Risk Factor Eligibility Test (RFET) uses the availability of market data as a proxy for liquidity risk. It is being introduced following the Basel Committee’s Fundamental Review of the Trading Book (FRTB) – along with other changes to capital adequacy requirements that now form part of Basel III – all of which are due to be implemented in 2023 (following a recent one-year delay to implementation triggered by the Covid-19 crisis).…