Featured Product

    EBA Discussion Paper on Implementing Revised Market Risk Framework

    December 18, 2017

    EBA published a discussion paper on the implementation of the revised market risk and counterparty credit risk frameworks in the EU—also known as the Fundamental Review of the Trading Book (FRTB) and the Standardized Approach for Counterparty Credit Risk (SA-CCR), respectively. The discussion paper discusses key technical and operational challenges to implement the FRTB and SA-CCR in the EU. The paper provides preliminary views on the addressal of these implementation issues and seeks early feedback from the stakeholders on the proposals. The paper also puts forward a roadmap for the development of the regulatory deliverables on the FRTB and SA-CCR, which have been included in the second Capital Requirements Regulation (CRR2) proposal. The consultation runs until March 15, 2018.

    EC published CRR2 legislative proposal published on November 23, 2016, which proposes, inter alia, to transpose—into EU law—the FRTB and SA-CCR developed by BCBS. The successful implementation of these frameworks in the EU will represent an important collective challenge over the next years. EBA is, therefore, of the view that an open discussion on how to jointly address this challenge is necessary. Without preempting the outcome of ongoing legislative discussions with respect to the CRR2 legislative proposal, with this discussion paper, EBA intends to provide preliminary views on how to address some of the most important implementation issues related to the FRTB and SA-CCR. The discussion paper covers eight implementation issues—two on SA-CCR and six on the FRTB; the paper also requests stakeholder views on additional implementation issues that they may have identified and that are not included in the scope of the paper. 
     
    In addition, the discussion paper outlines a roadmap and prioritization for the development of the regulatory deliverables on FRTB and SA-CCR. The roadmap provides a clear indication of intent of how EBA is prioritizing its future work in this area, although priorities may change as part of the ongoing considerations of legislators. The paper will, therefore, contribute to the timely implementation of the revised standards in the EU, as planned by the international standard-setters, while remaining independent of the final FRTB calibration, which will be agreed upon by BCBS. 

     

    Related Link: Press Release and Discussion Paper

    Comment Due Date: March 15, 2018

    Keywords: Europe, EU, Banking, SA-CCR, FRTB, Credit Risk, Market Risk, CRR2, EBA

    Related Articles
    News

    ECB Finalizes Methodology to Assess CCR and A-CVA Risk of Banks

    ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.

    September 18, 2020 WebPage Regulatory News
    News

    EBA Provides Opinion on Definition of Credit Institution in CRR

    EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).

    September 18, 2020 WebPage Regulatory News
    News

    APRA Consults on Alignment of Daily Liquidity Report for Banks

    APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.

    September 17, 2020 WebPage Regulatory News
    News

    FED Releases Scenarios for Second Round of Stress Tests on Banks

    FED released hypothetical scenarios for a second round of stress tests for banks.

    September 17, 2020 WebPage Regulatory News
    News

    PRA Announces Update on Supervisory Benchmarking Portfolio Exercise

    PRA published updates in relation to the 2021 Supervisory Benchmarking Portfolio exercise.

    September 14, 2020 WebPage Regulatory News
    News

    FED Revises and Extends Capital Assessment and Stress Testing Reports

    FED adopted a proposal to extend for three years, with revision, the capital assessments and stress testing reports (FR Y-14A/Q/M; OMB No. 7100-0341).

    September 14, 2020 WebPage Regulatory News
    News

    HKMA Updates Policy Module for Non-Centrally Cleared OTC Derivatives

    HKMA revised the Supervisory Policy Manual module CR-G-14 on margin and other risk mitigation standards for non-centrally cleared over-the-counter (OTC) derivatives transactions.

    September 11, 2020 WebPage Regulatory News
    News

    EBA Updates List of Validation Rules for Reporting by Banks

    EBA issued a revised list of validation rules with respect to the implementing technical standards on supervisory reporting.

    September 10, 2020 WebPage Regulatory News
    News

    EBA Responds to EC Call for Advice to Strengthen AML/CFT Framework

    EBA published its response to the call for advice of EC on ways to strengthen the EU legal framework on anti-money laundering and countering the financing of terrorism (AML/CFT).

    September 10, 2020 WebPage Regulatory News
    News

    NGFS Advocates Environmental Risk Analysis for Financial Sector

    NGFS published a paper on the overview of environmental risk analysis by financial institutions and an occasional paper on the case studies on environmental risk analysis methodologies.

    September 10, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5803