In this new Accenture Finance & Risk presentation we review the timelines concerning the Fundamental Review of the Trading Book proposals and how this will impact investments firms in the areas of data management and technology as well as their operating model.

1. FEBRUARY 2018
FUNDAMENTAL
REVIEW OF THE
TRADING BOOK (FRTB)
IMPACT OF REVISED
TIMELINES

2. AGENDA
What is the Global Impact? • Impact of revised FRTB timeline
Global Timeline • Overview of global FRTB timeline
FRTB
Timeline
1
Areas of FocusKey Sections
FRTB Roadmap • Roadmap for FRTB and key priorities for 2018 (Canadian Approach)
Appendix
Roadmap
3
FRTB Strategic Design
• A strategic and effective operating model that defines business
operation capabilities and platforms for regulatory compliance
FRTB Technology
• Defining the strategic technology landscape driven by need for speed,
scale, elasticity, capabilities, and improved cost allocation
FRTB Data
• Identifying data dependencies and data sourcing for each component of
FRTB with data lineage documentation
Key
Priorities
in 2018
2
Copyright © 2018 Accenture. All rights reserved. 2

3. FRTB TIMELINE

4. FRTB TIMELINE
GLOBAL TIMELINE
Copyright © 2018 Accenture. All rights reserved.
4
The Basel Committee on Banking Supervision has extended the revised reforms for market risk framework to
January 2022 from December 2019. This allows banks to synchronize with aggregated Basel III reforms.
Sources for regulatory content in this document:
1. Office of the Superintendent of Financial Institutions (OSFI): “CBA proposal for FRTB Timelines,” letter, OFSI’s response to Canadian Bankers Association, December 20, 2017
2. Bank for International Settlements (BIS): Governors and Heads of Supervision finalise Basel III reforms,” December 7, 2017
3. Bank for International Settlements (BIS): “Basel III: Finalizing post-crisis reforms,” December 7, 2017
4. Hong Kong Monetary Authority (HKMA): “Finalisation of Basel III and Revised FRTB Timeline,” December 14, 2017
5. Prudential Regulatory Authority (PRA): “Supervisory Statement Market Risk (SS13/13),” February 2017
6. Monetary Authority of Singapore (MAS): “Singapore to postpone bank capital rule; follows Hong Kong, Australia delays,” Reuters, July 5, 2017
7. Australian Prudential Regulation Authority (APRA): “APRA’s review of prudential requirements for traded market risk,” March 21, 2017
8. Quantitative Impact Studies (QIS): Current data collection exercises
2018 2019 2020 2021 2022
OSFI1
OSFI
Update
A
FRTB
Implementation
January
A
HKMA4
Consultation
Paper
FRTB
Implementation
MAS5
A
FRTB
Implementation
A
Revised FRTB
Implementation
APRA6
Finalized Market
Risk Standard
FRTB
Implementation
BIS3
Basel relies on member
countries to commit to
implementation of market risk
reforms, as it has no powers of
enforcement
EBA2
Finalized
EU FRTB
FRTB Implementation 2023
(4 Years pending EU FRTB finalized framework)
QIS7
March
QIS 9
September
QIS 10
Basel Committee on Banking Supervision (BCBS) delayed to allow
for international implementation timeline consistency
Revised to align with BIS
Nov (FYE Oct)
Jan (FYE Dec)
Application
Open
May (FYE Oct)
Jul (FYE Dec)
Pre-Application
Close
Feb (FYE Oct)
Apr (FYE Dec)
Full-Application
Close
Nov (FYE Oct)
Jan (FYE Dec)
Regulatory
Reporting
PRA5
Supervisory
Statement

5. FRTB TIMELINE
WHAT IS THE GLOBAL IMPACT?
Legend
Recalibrated in
December
Pending
Recalibration
Timeline Synchronization
• Global realignment and
consistency with revised BIS
timeline
Framework Calibration
• Consistent recalibration (not
transformation) to align capital
requirements consistent with
expectations
National Jurisdiction
• National regulatory bodies to
finalize legislation and
harmonize with other
jurisdictions
1
2
3
BIS: 2022
Three year delay to
implementation of FRTB
HKMA: 2022
Realigned timeline to
BIS December update
APRA: 2021
Realigned timeline
based on finalized
market risk standard in
2020
Updated: December 2017
Updated: March 2017
OSFI: 2021/2022
Realigned timeline based
on final market risk
standard in 2019
Updated: December 2017
EBA / EC: 2023
Four year
implementation period in
2023
Updated: December 2017
MAS: 2021
Unofficially announced
postponement 2021
Updated: July 2017
Updated: December 2017
US Fed: 2022
Unofficially announced
postponement 2022
Updated: December 2017
Globally, regions are synchronizing with the revised BIS timeline, which allows for opportunities to advocate
additional technical changes and implementation consistently.
Copyright © 2018 Accenture. All rights reserved. 5
PRA: 2021
Updated: February 2018
Supervisory statement
with no formal dates

6. KEY PRIORITIES
IN 2018

7. 1
FRTB DATA
• Market Data
• Gap Assessment
• Data Lineage
2
FRTB Technology
• SA Design and Build
• IMA Solution Design
3
FRTB Strategic Design
• Operating Model
• Desk Optimization
Copyright © 2018 Accenture. All rights reserved. 7
Identifying data dependencies
and data sourcing for each
component of FRTB with data
lineage documentation and
governance
Defining the strategic
technology landscape driven
by need for speed, scale,
elasticity, capabilities and
improved cost allocation
PRIORITIES IN 2018
KEY PRIORITIES
In our experience, there are three key FRTB priorities that are crucial for banks in 2018.
Establishing a strategic and
effective operating model
that defines business
operation capabilities and
platforms to enable compliance
Note:
IMA: Internal Model Approach
SA: Standardized Approach

8. FRTB DATA
ASSESSMENT AND
DATA LINEAGE

9. CORE COMPONENTS OF DATA
FRTB DATA
Copyright © 2018 Accenture. All rights reserved. 9
Managing the use (and
outcome) of external market
data permits the approved,
rationalized and standardized
use of market data
• Circumvents the use of unapproved data sources which could result
in regulatory sanctions
• Establishes governance and control on the use of external data
• Rationalizes and standardizes the market data elements used for
risk charge computations
• Identifies risk factor eligibility (modelable vs. non-modelable)
Rationalize use
of External
Market Data
Maintaining standardized and
consistent data sources is
crucial to high data quality and
accuracy, key to satisfying
regulatory examination
Maintain
Standardized
Data Sourcing
• Permits a single and consistent source of input data utilized across
the front office, risk and downstream consumers for calculations
• Facilitates the alignment of credit risk models in banking and trading
book to coordinate default risk charge computations
• Allows for the availability of data required per regulatory standards
Allowing traceability into a high
number of complex
calculations is critical to
managing operational complexity
Manage
Increased
Complexity of
Calculations
• Permits traceability and visibility into data elements used for capital
requirement calculations
• Manages operational complexity for risk computation
• Establishes and validates framework to demonstrate adherence to
regulatory calculation standards
DescriptionFocus Area
Data is a crucial consideration for FRTB due to the importance of maintaining standardized and consistent data,
managing complex calculations, and establishing governance and controls on the use of external market data for
risk charge computations.

10. FRTB FRAMEWORK DATA DEPENDENCY
FRTB DATA
Copyright © 2018 Accenture. All rights reserved. 10
Core components within the FRTB Framework have significant dependencies on the Data required in order to
calculate market risk capital based on regulatory standards.
Assessment
Analytics and
Optimization
Implementation
Data Requirements
1. Documentation of instrument designation, risk management polices for trading book instruments, supervisory powers and internal risk transfers
2. SA = Standard Approach 3. IMA = Internal Model Approach 4. SBM = Sensitivity Based Method 5. BRD = Business Requirements Document
Desk
Nomination
H
Supervisory
Framework 1
M
Trading Desk
Analysis
M
Quantitative
Impact Study
H
Trading Desk
Designation
H
Trading Desk
Optimization
H
Cost Benefit
Analysis
H
What-if
Scenario
H
Trading Desk
Definition
M
Trading Book
Definition
L
P&L Attribution
Analysis
H
Back
Testing
H
P&L Attribution
Analysis
H
Backtesting
H
External
Validation
H
Validation
Standards
M
IMA 3 Capital
Charge
SA 2 Capital
Charge SBM 4
Calculation
H
Default Risk
Charge
H
Residual Add
On
H
Risk Factors
H
Non-Modelable
Risk Factors
H
Residual Add
On
H
Trading
Instrument
Scope
M
Control
Framework
M
Low Data
Dependency
L
Medium Data
Dependency
M
High Data
Dependency
H
Data
Inventory
Data
BRDs 5
Data Gap
Assessment
Data
Lineage
Data
Governance
Data
Management
Data
Controls
Data
Flow
Data
Remediation
Legend

11. FRTB STRATEGIC
TECHNOLOGY
DESIGN

12. TECHNOLOGY FOUNDATION PRINCIPLES
FRTB TECHNOLOGY
Copyright © 2018 Accenture. All rights reserved. 12
The FRTB technology design is driven by the core principles of need for speed, scale, elasticity, new capabilities,
and optimized cost allocation.
Breadth of
Capabilities
Provide a wide
range of new
capabilities quickly
via services for data
ingestion,
processing, storage,
and analytics /
reporting
Enhanced
Speed to
Outcome
Greater ability to
quickly stand up
new storage,
analytical, and data
processing
environments to
accelerate data and
analytical
capabilities
Reduced
Costs
More efficient
deployment of
capital in the design
and use of
technology
infrastructure,
streamlined
alongside other
regulatory initiatives
Improved
Performance
Re-engineering
processes and
leveraging scalable
computing
capabilities may
provide additional
performance gains
in data processing,
reporting, and
analytics
Elasticity &
Scale
Effectively use of
hardware for
predictable
workloads, while
providing
scalability when
needed for
unpredictable
workloads

13. CORE TECHNOLOGY COMPONENTS
FRTB TECHNOLOGY
Copyright © 2018 Accenture. All rights reserved. 13
High Priority Activities
Reduced Costs by
deploying cloud solution for
storage and calculations,
which give flexibility and
scalability options to expand
operations
Improved Performance –
for business users – Business
Intelligence (BI), Analytics,
Reporting for quick business
decisioning
Breadth of Capabilities –
Support for a variety of
business users across the
enterprise for informational
needs
Enhanced Speed
To Outcome – By
consolidating data from
multiple sources and
applying data
transformation
techniques
Elasticity and Scale – Utilizing master data management,
data lineage principles for enhanced flexibility in data
availability and utilization, and for quick turnaround to delivery

14. FRTB TARGET
STRATEGIC DESIGN

15. FRTB OPERATING MODEL STRATEGY
STRATEGIC DESIGN
Copyright © 2018 Accenture. All rights reserved.
15
FRTB is expected to have significant cross functional impact, and banks should define a strategic and effective
operating model that outlines business operation capabilities and platforms for regulatory compliance.
Priority Priority Dimension Benefit
Recalibration of
Activities
• Re-evaluate implementation approach to prioritize components which are expected to have low probability
to change and have high value-add for the firm (i.e., no regret activities)
• Identify teams / areas requiring the greatest remediation efforts and allocate funding for implementation.
Stagger funding allocation to reduce investment exposure in dynamic scenario
Agile and configurable solution
Minimal / limited rework
Improved resource utilization
Prioritized approach
Policies and
Controls
• Establish definitions and boundaries between trading book / banking book, define policies on internal risk
transfers and define trading and covered instruments
• Develop risk policies and governance standards covering convergence of banking book and trading book
treatment
Established FRTB Framework
Target Operating Model
Governance Model and Standards
Risk Policy Documentation
Trading Desk
Strategy
• Trading book / banking book delineation to identify the size of portfolio and instruments in scope
• Trading desk structure and enhancement for capital provisioning and impact assessment
• What-If scenario analysis SA vs IMA to determine which trading desks to select for IMA approval
• Cost benefit analysis to determine capital savings under IMA and investment for compliance
Portfolio Rationalization
Internal Risk Transfer Policy
Business Strategy Decisioning
Implementation
Roadmap
• Plan Standardized Approach implementation effort
• User tools requirements for analytics and business decisioning
• Governance and operating model design
• Technology implementation book of work
Structured Technology Deployment
User Requirements Driven Implement
Process Driven Implementation
Parallel Documentation For Audit
Technology
Capabilities
• Foundational capabilities identification – data strategy, analytics capabilities, model platforms
• Identify and resolve data gaps – Identify implementation gaps for data elements to support FRTB
• Identify strategic capabilities for FRTB and identify areas of synergies with other regulatory initiatives e.g,
Uncleared Margin Requirements, Standard Initial Margin Model, Credit Valuation Adjustment Framework
Standardized Technology Implement
Strategic Technology Alignment

16. FRTB OPERATING MODEL
STRATEGIC DESIGN
Copyright © 2018 Accenture. All rights reserved. 16
FRTB Governance
Steering Committee
Program and Workstream Charter
Roles and Responsibilities
Risk Management and Remediation
Program Direction and Oversight
Program Execution
Program Decisions
Program Design
Change Management
FRTB Components
Technology Solution Architecture
Rulesand
Strategy
Modelsand
Methodology
Data
Management
DeskAnalytics
andOptimization
Regulatory
andCompliance
FRTB Operating Model
• Recalibration Activities
• Policies and Controls
• Trading Desk Strategy
• Implementation Roadmap
• Technology Capabilities

17. APPENDIX
• ROADMAP

18. FRTB ROADMAP: CANADIAN APPROACH
Copyright © 2018 Accenture. All rights reserved. 18
Components
2018 2019
2020 2021 2022
Jan – Mar Apr – Jun Jul - Sep Oct - Dec Jan – Mar Apr – Jun Jul - Sep Oct - Dec
Critical
Milestones
Governance and
Controls
Models &
Methodology
Data Management
Desk Analysis and
Enhancement
Technology
Regulatory
Rules Interpretation and Traceability
SA Data Elements
SA BRDs
Governance
Risk Policies
Trading Book Boundaries
Trading / Covered Instruments
Risk Management Policies
Internal Risk Transfers
Reporting Requirements
Trading Desk ID
National Rules Interpretation and Traceability
Supervisory Process
SA Data Lineage and Governance
IMA Data Elements
Definition of IMA Data Elements
IMA Data Gap Assessment (including P&L and NMRFs)
IMA Data Remediation
IMA Data Lineage and Governance
Trading Optimization (PLA, Non-Modelable Risk Factors, Trading Instrument)
Design
SA Methodology IMA Methodology
Data Source and Remediation
Regulatory Approvals
Application
Open
Pre-Application
Close
Full-Application
Close
Regulatory
Reporting
Trading Desk Nomination
Operating Model
Capital Calculation (Architecture, Design, Build, Test and Implementation)
Communication and Change
Parallel Runs
Instrument Desig.
Control Testing Control MonitoringControl Documentation
IMA BRDs
Model Validation
Basel / OSFI Rules
Policies and Procedures
Legend
High Priority
Secondary Priority
Tentative
Profit & Loss Attribution
(PLA) & Back Testing
Definition of SA Data Elements
SA Data Gap Assessment
SA Data Remediation
1 FRTB Data
2 FRTB Tech
3 FRTB Design
Defined strategic operating model
Identified data elements and gaps
Completed design and solutioning

19. THANK YOU
Contact us:
Rahim Inoussa:
Senior Principal, Accenture Finance & Risk
(E): rahim.inoussa@accenture.com
(P): +1 917-452-0293
Usman Raj:
Senior Manager, Accenture Finance & Risk
(E): usman.raj@accenture.com
(P): +1 416-641-3588
Gaurav Kapoor:
Manager, Accenture Finance & Risk
(E): gaurav.a.kapoor@accenture.com
(P): + 1 917-452-0508
To find out more:
Accenture Finance & Risk:
https://www.accenture.com/us-en/financial-services-finance-risk
Accenture Finance & Risk Blogs:
http://financeandriskblog.accenture.com/homepage/
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20. THE FUNDAMENTAL REVIEW OF TRADING BOOK:
REVISED TIMELINE IMPACT
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