About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

EBA Publishes FRTB Roadmap, Launches Consultation

Subscribe to our newsletter

Prior to the implementation of the Fundamental Review of the Trading Book (FRTB), now scheduled for January 2022, the European Banking Authority (EBA) on June 27 issued a new roadmap for market and counterparty credit risk approaches, providing a comprehensive overview of deliverables in the area of market and counterparty credit risk and outlines the bank’s intentions and objectives in order to ensure a smooth implementation of the new framework within the EU.

In particular, the publication reflects a prioritisation of the EBA work according to four phases, which is broadly in line with the deadlines included in the Revised Capital Requirements Regulation (CRR2) proposal, starting with the implementation of the essential parts of the framework.

The roadmap covers 11 draft technical standards (RTS) which have been divided into three Consultation Papers: draft RTS on liquidity horizons (1), draft RTS on back-testing and profit and loss attribution (PLA) requirements (2), and draft RTS on criteria for assessing the modellability of risk factors under the internal model approach (3).

These standards were developed based on the proposals included in the EBA Discussion Paper (DP) on ‘Implementation in the EU of the revised market risk and counterparty credit risk frameworks’ published on December 18, 2017 and the industry feedback received as a result of the subsequent consultation. 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 their data.

In conjunction with the new roadmap, the EBA has launched a consultation on these draft standards, along with a data collection exercise on non-modellable risk factors (NMRF), which will run until October 4, 2019

Subscribe to our newsletter

Related content

WEBINAR

Recorded Webinar: Sponsored by FundGuard: NAV Resilience Under DORA, A Year of Lessons Learned

The EU’s Digital Operational Resilience Act (DORA) came into force a year ago, and is reshaping how asset managers, asset owners and fund service providers think about operational risk. While DORA’s focus is squarely on ICT resilience and third-party dependencies, its implications extend deep into core operational processes that are critical to market integrity, investor...

BLOG

Financial Crime is a Decision-Speed Problem: Rethinking AI in AML and Compliance Controls

Financial crime compliance is often described as a resourcing challenge. Firms speak of analyst backlogs, alert volumes and the rising cost of surveillance and screening. Kieran Holland, Solutions Engineering Team Leader at Innovative Systems’ FinScan, argues that the underlying constraint has shifted. Financial crime has become a decision-speed problem. “The fight against financial crime is...

EVENT

TEST Event page 2

Now in its 15th year the TradingTech Summit London brings together the European trading technology capital markets industry and examines the latest changes and innovations in trading technology and explores how technology is being deployed to create an edge in sell side and buy side capital markets financial institutions.

GUIDE

The Data Management Challenges of Client Onboarding and KYC

This special report accompanies a webinar we held on the popular topic of The Data Management Challenges of Client Onboarding and KYC, discussing the data management challenges of client onboarding and KYC, and detailing new technology solutions that have the potential to automate and streamline onboarding and KYC processes. You can register here to get immediate...