The Monetary Authority of Singapore (MAS) has set out their requirements for FRTB in
MAS Notice 637–Risk Based Capital Adequacy Requirements,
published September 2023.
Full capital adequacy and disclosure requirements have been effective since January 2025.
Atoti FRTB contains a “MAS” parameter set that configures the calculations to be compatible with Notice 637.
The parameter set is defined in the configuration/MAS directory.
Differences with BCBS
Parameter
BCBS value
MAS value
BCBS reference
MAS reference
Description
sa.fx.reporting-currency
SGD
The reporting currency is set to Singapore Dollar (SGD).
sa.girr.major-ccy-adjustment
true
true
MAR 21.44
8.2.92
Dividing the risk-weights for major currencies by √2 is optional for BCBS and mandatory for MAS.
sa.girr.inflation-basis-adjustment
true
false
MAR 21.44
8.2.92
The risk-weights for inflation and cross-currency basis curves are not divided by √2.
sa.fx.major-ccy-adjustment
true
true
MAR 21.88
8.2.140
Dividing the risk-weights for specified currency pairs by √2 is optional for BCBS and mandatory for MAS.
sa.fx.use.fx-divider
true
true
MAR 21.98
8.2.152
Dividing the qualifying CVR values by 1.5 is optional for BCBS and mandatory for MAS.