FRTB

Luzerner Kantonalbank AG implements FM Converge from Finmechanics for its Cloud-based Front-Office, Pricing and Risk Infrastructure

Retrieved on: 
Monday, February 12, 2024

FM Converge is a high performant cross-asset front to back platform that enables banks to run their markets business on a private or public cloud.

Key Points: 
  • FM Converge is a high performant cross-asset front to back platform that enables banks to run their markets business on a private or public cloud.
  • "By integrating FM Converge into LUKB's infrastructure, we were able to provide full cross asset pricing and risk capabilities with a very low technology footprint", says Anindya Sarkar, CEO of Finmechanics.
  • FM Converge offers LUKB future-proof trading software that covers all the functions required for pricing, trading and risk management across all asset classes.
  • A fully hosted and managed environment makes the FM Converge installation highly scalable and responsive to fluctuating demand, significantly reducing operational and maintenance cost.

EBA consults on amending the data collection for the benchmarking exercise in 2025

Retrieved on: 
Saturday, February 3, 2024

EBA consults on amending the data collection for the benchmarking exercise in 2025

Key Points: 
  • EBA consults on amending the data collection for the benchmarking exercise in 2025
    The European Banking Authority (EBA) today published a consultation paper amending the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2025 exercise.
  • The EBA benchmarking exercise is the basis for both the supervisory assessment and the horizontal analysis of the outcome of internal models.
  • In this regard, this consultation paper updates the information to be collected in the 2025 exercise.
  • The EBA is also suggesting to reshape market portfolio and to expand the validation portfolios for the Alternative Standardised Approach.

The EBA consults on draft technical standards on residual risk add-on hedges under the Fundamental Review of the Trading Book

Retrieved on: 
Saturday, February 3, 2024

The EBA consults on draft technical standards on residual risk add-on hedges under the Fundamental Review of the Trading Book

Key Points: 
  • The EBA consults on draft technical standards on residual risk add-on hedges under the Fundamental Review of the Trading Book
    The EBA consults on draft technical standards on residual risk add-on hedges under the Fundamental Review of the Trading Book
    The European Banking Authority (EBA) today launched a public consultation on its draft Regulatory Technical Standards (RTS) on the conditions for determining whether an instrument attracting residual risk acts as a hedge.
  • These RTS are part of the Phase 1 deliverables of the EBA roadmap on the implementation of the EU banking package in the area of market risk.
  • One of the pillars of the standardised approach (SA) under the new fundamental review of the trading book (FRTB) framework is the residual risk add-on (RRAO).
  • The public hearing on these draft RTS will take place via conference call on 6 March 2024 from 15.00 to 16.00 CET.

Capco Names Kit Spicer as US Partner for Finance, Risk and Compliance

Retrieved on: 
Monday, November 20, 2023

Capco, the global technology and management consultancy, has appointed Kit Spicer as a new Partner in its US Finance, Risk, and Compliance (FRC) practice, based in New York.

Key Points: 
  • Capco, the global technology and management consultancy, has appointed Kit Spicer as a new Partner in its US Finance, Risk, and Compliance (FRC) practice, based in New York.
  • Kit joins Capco from BlockFi, where he was Head of Credit Risk and Underwriting.
  • Kit has also held positions at Goldman Sachs working across finance, capital markets and credit risk, and at Oliver Wyman as a financial services consultant focused on capital markets risk.
  • Given ongoing ramping up of risk and regulatory initiatives and requirements, the imperative to ensure robust risk and compliance planning is more intense than ever.

The EBA second mandatory exercise on Basel III full implementation shows a significantly reduced impact on EU banks with shortfalls nearly fully absorbed

Retrieved on: 
Wednesday, September 27, 2023

The EBA second mandatory exercise on Basel III full implementation shows a significantly reduced impact on EU banks with shortfalls nearly fully absorbed

Key Points: 
  • The EBA second mandatory exercise on Basel III full implementation shows a significantly reduced impact on EU banks with shortfalls nearly fully absorbed
    26 September 2023
    The European Banking Authority (EBA) today published its second mandatory Basel III Monitoring Report which assesses the impact that Basel III full implementation will have on EU banks in 2028.
  • In terms of estimated capital shortfall, the impact of the reform has been nearly fully absorbed.
  • A separate Annex to the Report also includes the impact of the proposals for the EU implementation of Basel III under the revised Capital Requirements Regulation (CRR3).
  • - The Basel III Monitoring Report shows the results separately for Group 1 and Group 2 banks.

The EBA consults on technical standards to identify extraordinary circumstances to derogate from certain requirements in the area of market risk

Retrieved on: 
Friday, August 4, 2023

03 August 2023

Key Points: 
  • 03 August 2023
    The European Banking Authority (EBA) today launched a public consultation on draft Regulatory Technical Standards (RTS) to identify extraordinary circumstances of market disruption, permitting to waive certain requirements for the calculation of own funds requirements for market risk on the basis of internal models.
  • The draft RTS establish a high-level framework for identifying a situation of extraordinary circumstances, setting out conditions that need to be met, and define indicators that could support the identification of extraordinary circumstances.
  • Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page.
  • The EBA invites interested stakeholders to register using this link by 18 September 2023, 16:00 CEST.

Bloomberg Launches Funds Data Solution Enhancing Insights and Connectivity Across the Investment Lifecycle

Retrieved on: 
Thursday, June 8, 2023

NEW YORK, June 8, 2023 /PRNewswire/ -- Bloomberg today announced the launch of its Funds Data Solution covering over 135,000 unique funds and 12,000 exchange traded products available as Foundational Data, Holdings, Corporate Actions, ESG, Risk, and Regulatory data products. Bloomberg's Funds Data Solution is accessible via Bloomberg Data License file delivery and aligns with the funds data available on the Bloomberg Terminal to support investment workflows consistently and with scale across an enterprise. 

Key Points: 
  • Bloomberg's Funds Data Solution is accessible via Bloomberg Data License file delivery and aligns with the funds data available on the Bloomberg Terminal to support investment workflows consistently and with scale across an enterprise.
  • Bloomberg's Funds Data Solution provides data on a comprehensive global universe of funds including mutual funds, fund of funds, closed/open-end funds, unit trusts and more as well as exchange traded products (ETPs) including ETFs, ETCs, and ETNs.
  • Bloomberg's Funds Data Solution seamlessly integrates with other Bloomberg data solutions by using standardized identifiers, such as the Financial Instrument Global Identifier (FIGI), proprietary Bloomberg identifiers, and detailed metadata.
  • Bloomberg's Funds Data is available on the Bloomberg Terminal and to Enterprise Data customers via Data License.

EBA consults on standards for supervisors assessing the new market risk internal models under the Fundamental Review of the Trading Book

Retrieved on: 
Friday, March 24, 2023

These RTS are part of the phase 4 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.

Key Points: 
  • These RTS are part of the phase 4 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches.
  • With these RTS, the EBA ensures clarity on the assessment performed by competent authorities, so as to guide the implementation of FRTB internal models in EU.
  • On governance, the RTS leverage on the former draft RTS on assessment methodology for market risk.
  • Regarding the internal risk-measurement model and the internal risk default model, these draft RTS are mostly addressed to competent authorities, rather than to institutions.

EBA consults on amendments to the reporting on the Fundamental Review of the Trading Book

Retrieved on: 
Tuesday, March 21, 2023

21 March 2023

Key Points: 
  • 21 March 2023
    The consultation paper expands the reporting on the Fundamental Review of the Trading Book (FRTB) approaches to the calculation of own funds requirements for market risks.
  • The expanded reporting will provide supervisors with the necessary data to monitor institutions’ compliance with the prudential rules.
  • The amendments mostly affect institutions with significant business subject to market risk, thus reflecting the proportionality elements embedded in the Capital Requirements Regulation (CRR).
  • The consultation paper also illustrates a set of possible amendments to the ITS on supervisory reporting, mainly reflecting the trading book boundary framework.

Finastra and Uni Systems extend collaboration to enable financial institutions to meet new risk management regulation

Retrieved on: 
Tuesday, March 14, 2023

LONDON and ATHENS, Greece, March 14, 2023 /PRNewswire/ -- Finastra and Uni Systems have extended their partnership to help financial institutions in the Adriatic, Central and Southeast Europe regions comply with the Basel Committee's Fundamental Review of the Trading Book (FRTB) reporting requirements, effective in 2025. Under the new agreement, Uni Systems can offer its customers Vector Risk's Trading Book Market & Credit Risk Solution, via Finastra's FusionFabric.cloud and hosted on Microsoft Azure, for cloud-based automation of credit and market risk calculations in the trading book.

Key Points: 
  • Under the new agreement, Uni Systems can offer its customers Vector Risk's Trading Book Market & Credit Risk Solution, via Finastra's FusionFabric.cloud and hosted on Microsoft Azure, for cloud-based automation of credit and market risk calculations in the trading book.
  • The FRTB is a comprehensive suite of rules proposed by the Basel Committee on Banking Supervision (BCBS) that capital banks must hold against market risk exposures.
  • Trading Book Market & Credit Risk is a SaaS solution providing out-of-the-box connectivity with Finastra's treasury and capital market solutions, standard market data packages and institutions' internal data.
  • Uni Systems provides strategic guidance, project management and technical execution.