Featured Product

    EBA Consults on Standards for Internal Model Approach Under FRTB

    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

    Featured Experts
    Related Articles
    News

    APRA Penalizes Heritage Bank for Incorrect Reporting of Capital

    The Australian Prudential Regulation Authority (APRA) found that Heritage Bank Limited had incorrectly reported capital because of weaknesses in operational risk and compliance frameworks, although the bank did not breach minimum prudential capital ratios at any point and remains well-capitalized.

    November 29, 2021 WebPage Regulatory News
    News

    OSFI Releases Annual Report 2021-2022

    The Office of the Superintendent of Financial Institutions (OSFI) released the annual report for 2020-2021.

    November 29, 2021 WebPage Regulatory News
    News

    APRA Finalizes Capital Adequacy Standards for Banks

    The Australian Prudential Regulation Authority (APRA) published, along with a summary of its response to the consultation feedback, an information paper that summarizes the finalized capital framework that is in line with the internationally agreed Basel III requirements for banks.

    November 29, 2021 WebPage Regulatory News
    News

    CPMI-IOSCO Seek Comments on Access to Central Clearing and Portability

    The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) issued a consultative report focusing on access to central counterparty (CCP) clearing and client-position portability.

    November 29, 2021 WebPage Regulatory News
    News

    APRA Finalizes Guidance on Management of Climate Change Risks

    The Australian Prudential Regulation Authority (APRA) released the final Prudential Practice Guide on management of climate change financial risks (CPG 229) for banks, insurers, and superannuation trustees.

    November 26, 2021 WebPage Regulatory News
    News

    EBA Publishes Single Rulebook Q&A Updates in November 2021

    The European Banking Authority (EBA) Single Rulebook Question and Answer (Q&A) tool updates for this month include answers to 10 questions.

    November 26, 2021 WebPage Regulatory News
    News

    EC Finalizes Rules on Internal Approaches Benchmarking Exercise

    The European Commission, or EC, finalized the Implementing Regulation 2021/2017 with respect to the benchmark portfolios, reporting templates, and reporting instructions for the supervisory benchmarking of internal approaches for calculating own funds requirements.

    November 26, 2021 WebPage Regulatory News
    News

    EC Proposes New Measures Under Capital Markets Union Package

    The European Commission (EC) has adopted a package of measures related to the Capital Markets Union.

    November 25, 2021 WebPage Regulatory News
    News

    European Council Adopts Position on Digital Finance Package Proposals

    The European Council adopted its position on two proposals that are part of the digital finance package adopted by the European Commission in September 2020, with one of the proposals involving the regulation on markets in crypto-assets (MiCA) and the other involving the Digital Operational Resilience Act (DORA).

    November 25, 2021 WebPage Regulatory News
    News

    PRA Proposes Rulebook Changes; BoE Extends BEEDS Testing Window

    The Prudential Regulation Authority (PRA) is proposing, via the consultation paper CP21/21, to apply group provisions in the Operational Resilience Part of the PRA Rulebook (relevant for the Capital Requirements Regulation or CRR firms) to holding companies.

    November 25, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 7740