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: GenAI and LLM case studies for Surveillance, Screening and Scanning

As Generative AI (GenAI) and Large Language Models (LLMs) move from pilot to production, compliance, surveillance, and screening functions are seeing tangible results – and new risks. From trade surveillance to adverse media screening to policy and regulatory scanning, GenAI and LLMs promise to tackle complexity and volume at a scale never seen before. But...

BLOG

New White Paper: AI and the Operational Reality of e-Comms Surveillance

The rapid expansion of electronic communications channels has fundamentally reshaped how financial firms interact with clients, counterparties and markets. Email and Bloomberg messaging have been joined by collaboration tools, instant messaging platforms, voice calls and video meetings, all of which now sit squarely within the scope of regulatory scrutiny. For compliance teams, this proliferation has...

EVENT

Data Management Summit London

Now in its 16th year, the Data Management Summit (DMS) in London brings together the European capital markets enterprise data management community, to explore how data strategy is evolving to drive business outcomes and speed to market in changing times.

GUIDE

Managing Valuations Data for Optimal Risk Management

The US corporate actions market has long been characterised as paper-based and manually intensive, but it seems that much progress is being made of late to tackle the lack of automation due to the introduction of four little letters: XBRL. According to a survey by the American Institute of Certified Public Accountants (AICPA) and standards...