EBA FRTB-ASA Benchmarking Support for Newly In-scope Banks

A new regulatory requirement is expected to bring additional EU banks into scope for submitting Fundamental Review of the Trading Book (FRTB) Alternative Standardized Approach (ASA) capital as part of the European Banking Authority’s (EBA) benchmarking exercise.

ISDA Capital Models Benchmarking is an established industry initiative that provides a structured industry solution supported by ISDA Analytics and working group engagement.

 

Why this matters now

  • The new mandate in Article 78 of Directive 2024/1619 requires institutions using the FRTB-ASA, with on- and off-balance-sheet business subject to market risk of at least €500 million, to report the results of their calculations for exposures or positions included in the benchmark portfolios.
  • Newly in-scope banks will need to prepare for a data-intensive and time-sensitive benchmarking exercise, including the booking of benchmark portfolios, generation of FRTB-ASA capital results, internal review and submission to the relevant national competent authority.

 

How ISDA supports banks

ISDA has developed unique benchmarking expertise over seven years, supporting firms across EU, US and UK FRTB standardized approach benchmarking exercises and can support firms in the following ways:

  1. ISDA Analytics technology platform: Industry benchmarking results with bank- specific granular insights with zero additional effort;
  2. ISDA benchmarking working group: Benefit of participation in ISDA EBA Shadow Benchmarking Working Group;
  3. ISDA Training and Support: ISDA-led training on the ISDA platform and the EBA benchmarking process.

 

Benefits for newly in-scope banks

Participation can help banks:

  • Prepare ahead of fixed supervisory timelines;
  • Identify booking, calculation or interpretation issues early;
  • Get benchmark results against peers;
  • Reduce execution risk;
  • Improve confidence in final regulatory submissions.

 

Download the ISDA EBA Shadow FRTB-ASA Benchmarking Support Information

For more information and to discuss ISDA EBA Shadow FRTB-ASA benchmarking participation, please contact the ISDA Capital Models Benchmarking team at ISDABenchmarking@isda.org.