June 27, 2019

EBA published its roadmap for the new market and counterparty credit risk approaches. It also launched a consultation on eleven draft regulatory technical standards on the new internal model approach under the Fundamental Review of the Trading Book (FRTB) standards, along with a data collection exercise on non-modellable risk factors (NMRF). The consultations on the regulatory standards end on October 04, 2019.

The draft standards were developed considering the proposals included in  EBA discussion paper on "Implementation in the EU of the revised market risk and counterparty credit risk frameworks," which was published on December 18, 2017, and the industry feedback received as a result of the subsequent consultation. The roadmap reflects a prioritization of EBA work in four phases, starting with implementation of the essential parts of the framework and ending with the regulatory products that require, for their development, some experience or feedback from the early stages of the implementation of the framework.

The eleven draft technical standards have been included into three different consultation papers on draft regulatory technical standards on:

  • Liquidity horizons for the internal model approach under points (a) to (d) of Article 325bd(7) of the revised Capital Requirements Regulation (CRR2) 
  • Back-testing requirements under Article 325bf(9) and profit and loss attribution requirements under Article 325bg(4) of CRR2
  • Criteria for assessing the modellability of risk factors under the internal model approach under Article 325be(3) of CRR2

These draft technical standards specify essential aspects of the internal model approach under FRTB and represent an important contribution to a smooth and harmonized implementation of FRTB in EU. The entry into force of these technical standards will trigger the three-year-period after which institutions, which have been granted permission to use the new internal model approach for reporting purposes, will be required to report internal model approach figures.

In parallel with the consultation, EBA is launching a data collection exercise on non-modellable risk factors. This exercise is meant to support EBA in fine-tuning and calibrating the methodology presented in the discussion paper with respect to the computation under the internal model approach of the capital charge corresponding to risk-factors that have been identified as non-modellable. To help banks fill in the template, instructions on the data collection (specifying the timeline of the exercise) have also been published. Participating internal model approach institutions are requested to provide data by September 04, 2019.

 

Related Links

Comment Due Date: October 04, 2019

Keywords: Europe, EU, Banking, Securities, Market Risk, Counterparty Credit Risk, SA-CCR, FRTB, Internal Model Approach, CRR2, Data Collection, NMRF, Credit Risk, Basel III, EBA

Related Articles
News

US Agencies Consult on Capital Treatment of Land Development Loans

US Agencies (FDIC, FED, and OCC) issued a proposed rule on the treatment of loans that finance the development of land for purposes of the one- to four-family residential properties exclusion in the definition of high volatility commercial real estate (HVCRE) exposure in the regulatory capital rule.

July 12, 2019 WebPage Regulatory News
News

EBA Single Rulebook Q&A: Second Update for July 2019

Under the Single Rulebook question and answer (Q&A) updates for this week, EBA published answers to five questions related to supervisory reporting.

July 12, 2019 WebPage Regulatory News
News

ESMA Updates Manual for European Single Electronic Format in EU

ESMA updated the reporting manual for European Single Electronic Format (ESEF).

July 12, 2019 WebPage Regulatory News
News

FED Updates Supplemental Instructions for Reporting Form FR Y-9C

FED updated the supplemental instructions for FR Y-9C reporting.

July 12, 2019 WebPage Regulatory News
News

EBA Publishes Report on Monitoring Implementation of LCR in EU

EBA published its first report on the monitoring of the implementation of liquidity coverage ratio (LCR) in EU.

July 12, 2019 WebPage Regulatory News
News

APRA Applies Additional Capital Requirements to Three Australian Banks

APRA is applying additional capital requirements to three major banks in Australia to reflect higher operational risk identified in their risk governance self-assessments.

July 11, 2019 WebPage Regulatory News
News

IMF Report on 2019 Article IV Consultation on Euro Area Policies

IMF published its staff report in context of the 2019 Article IV consultation on euro area policies with member countries.

July 11, 2019 WebPage Regulatory News
News

FSB to Survey Practices on Cyber Incident Response and Recovery

FSB launched a survey on the industry practices on cyber incident response and recovery.

July 11, 2019 WebPage Regulatory News
News

ECB Appoints New Members of Supervisory Board

The Governing Council of ECB appointed Edouard Fernandez-Bollo, Kerstin af Jochnick, and Elizabeth McCaul as representatives to the Supervisory Board of ECB Banking Supervision, for a five-year non-renewable term.

July 11, 2019 WebPage Regulatory News
News

OSFI Consults on Applying Proportionality to Pillar 1 Rules in Canada

OSFI published a discussion paper seeks input on possible tailoring of the capital and liquidity requirements for small and medium-size deposit-taking institutions.

July 11, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3435