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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. 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.

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Differences with BCBS

ParameterBCBS valueMAS valueBCBS referenceMAS referenceDescription
sa.fx.reporting-currencySGDThe reporting currency is set to Singapore Dollar (SGD).
sa.girr.major-ccy-adjustmenttruetrueMAR 21.448.2.92Dividing the risk-weights for major currencies by √2 is optional for BCBS and mandatory for MAS.
sa.girr.inflation-basis-adjustmenttruefalseMAR 21.448.2.92The risk-weights for inflation and cross-currency basis curves are not divided by √2.
sa.fx.major-ccy-adjustmenttruetrueMAR 21.888.2.140Dividing the risk-weights for specified currency pairs by √2 is optional for BCBS and mandatory for MAS.
sa.fx.use.fx-dividertruetrueMAR 21.988.2.152Dividing the qualifying CVR values by 1.5 is optional for BCBS and mandatory for MAS.