On Oct. 16, 2024, RSA CB issued communication on minimum readiness requirements to implement revised market risk, credit valuation adjustment (CVA) frameworks.
Informs all affected persons of implementation readiness requirements as set out in appendices: A - minimum implementation readiness requirements; B - governance requirements; and C - post-implementation review reporting requirement.
Banks required to submit post-implementation review reports to Prudential Authority after 1 month, 3 months and after 6 months, highlighting any critical issues faced.
Banks strongly encouraged to employ full extent of their resources, capability, and governance to ensure minimum implementation requirements are addressed.
On Apr. 11, RSA CB issued guidelines on FRTB independent assurance.
RSA CB issued prudential communication regarding FRTB, CVA independent assurance.
Follows RSA CB Jan. 2022 issued update on FRTB application changes, see #127317.
Overview
Basel Committee on Banking Supervision’s revised minimum capital requirements for market risk, or fundamental review of the trading book (FRTB), and credit valuation adjustment (CVA) framework due for implementation in South Africa on Jan. 1, 2024.
Sets out guidelines for conducting independent assurance assessments for application submissions related to revised market risk, credit valuation adjustment frameworks.
For purpose of the requirements, a limited assurance engagement must be conducted.
Banks may leverage internal audit/assurance providers to complete the assessments.
Should a bank deem that it has insufficient capacity, capability, and competence to conduct such assurance assessments, it may appoint a suitably qualified external IAP.
Scope of assurance/use of internal or external assurance providers may be revised.
Aug 2023 Revised Guidelines
On Aug. 8, 2023, RSA CB revised market risk, credit valuation adjustment frameworks.
Re minimum guidelines for model validation, independent assurance providers (IAPs).
RSA CB also issued Prudential Authority's revised implementation roadmap.
Basel Committee fundamental review of the trading book (FRTB), and credit valuation adjustment (CVA) framework due for implementation in South Africa on Jul. 1, 2025.
Implementation roadmap includes FRTB application suite for project planning initiatives, ahead of FRTB and CVA implementation on Jul. 1, 2025.
Appendices A to E of communication 10/2023 on revised guidance for attention of banks and their IAPs, relate to FRTB and CVA model validation submissions.
In addition to revised guidelines, banks should also refer to prudential communication 7/2022, for additional guidelines on use of IAPs for model validation assurance.
Oct. 2024 Minimum Readiness
On Oct. 16, 2024, RSA CB issued communication on minimum readiness requirements to implement revised market risk, credit valuation adjustment (CVA) frameworks.
Informs all affected persons of implementation readiness requirements as set out in appendices: A - minimum implementation readiness requirements; B - governance requirements; and C - post-implementation review reporting requirement.
Banks required to submit post-implementation review reports to Prudential Authority after 1 month, 3 months and after 6 months, highlighting any critical issues faced.
Banks strongly encouraged to employ full extent of their resources, capability, and governance to ensure minimum implementation requirements are addressed.
Regulators
RSA CB
Entity Types
Auditor; B/D; Bank; BHC; Depo; Ins; SIFI
Reference
PR, Com 12/2024, 10/16/2024; PR, Com 10/2023, Com 11/2023, 8/8/2023; Gd, PR 7/2022, 4/11/2022; CVA; FRTB
