European Banking Authority (EBA) annex detailing market risk benchmarking instruments and portfolios under EU Regulation 575/2013 (CRR), including valuation rules, risk calculation methods, and submission requirements for banks in the 2018 exercise.
European Banking Authority (EBA) reporting instructions for market risk supervisory benchmarking portfolios under CRR, detailing templates for initial market valuation, VaR, sVaR, profit & loss time series, IRC, and correlation trading models.
The European Banking Authority (EBA) launched today a public consultation on its draft Regulatory Technical Standards (RTS) specifying the requirements for originators, sponsors and original lenders related to risk retention as laid down in the new EU securitisation framework (STS Regulation). The RTS aim to provide clarity on the requirements relating to risk retention, thus reducing the risk of moral hazard and aligning interests. The consultation runs until 15 March 2018.
The European Banking Authority (EBA) launched today a public consultation on draft Regulatory Technical Standards (RTS) specifying a set of criteria for the underlying exposures in securitisation to be deemed homogeneous, as part of the requirements under the new EU securitisation framework. The homogeneity requirement aims to facilitate the assessment of underlying risks by investors and to enable them to perform robust due diligence. Its application is, therefore, one of prerequisites for a more risk sensitive regulatory treatment of the securitisation. The RTS are applicable to both asset-backed commercial paper (ABCP) and non-ABCP securitisations. The consultation runs until 15 March 2018.
Consultation Paper on RTS on risk retention (EBA-CP-2017-22)
Consultation Paper on RTS on homogeneity of underlying exposures in securitisation (EBA-CP-2017-21)
European Banking Authority (EBA) 2018 budget request and establishment plan – details revenue sources, expenditure breakdown, staffing levels, and financing decisions under EU financial regulations for approval by the Board of Supervisors.
European Banking Authority (EBA) 2018 budget detailing revenue sources—including contributions from EU national authorities, EU funding, and fees—and expenditure breakdowns such as staff costs, under Regulation (EU) No 1093/2010.
The European Banking Authority (EBA) published today data templates that will create the foundation for NPL transactions across the EU. The templates will provide a common EU data set for the screening, financial due diligence and valuation during NPL transactions. An extended use of the templates is expected to widen the investor base, lower entry barriers to potential investors, improve data quality and availability, support price discovery and facilitate the development of the NPL secondary market.
The European Banking Authority (EBA) published today an Opinion following the notification by the Central Bank of Cyprus (CBC) of its intention to apply stricter liquidity requirements in order to address an increase in macroprudential risk, based on Article 458 of the Capital Requirements Regulation (CRR).
Minutes
EBA Opinion on measures in accordance with Article 458 (EBA-Op-2017-15)
Final Report on final draft RTS and ITS on EBA Register under PSD2 (EBA-RTS-2017-10) (EBA-ITS-2017-07)
The European Banking Authority (EBA) published today its final draft regulatory technical standards (RTS) and implementing technical standards (ITS) on the EBA electronic central register under the Payment Services Directive (PSD2). The RTS specify the procedures competent authorities (CAs) should follow when providing information to the EBA and those that apply to the EBA when processing and publishing that information. The ITS specify the information that will be made available on the EBA Register. The aim of the EBA Register is to provide transparency on the operation of payment and e-money institutions across the EU, enhance cooperation between competent authorities in the Member States and ensure a high level of consumer protection.
The European Banking Authority (EBA) published today its final Guidelines on security measures for operational and security risks of payments services under the revised Payment Services Directive (PSD2). These Guidelines, which the EBA developed in close cooperation with the European Central Bank (ECB), are in support of the objective of PSD2 of contributing to an integrated payments market across the European Union, promoting equal conditions for competition, and mitigating the increased security risks arising from electronic payments. This, in turn, minimises disruption to users, payment service providers and payment systems.
EBA-supported study analysing IFRS 9’s procyclical effects on bank loan allowances using a recursive model calibrated to European corporate loans, assessing frontloaded credit loss impacts on P/L and CET1 during economic downturns.
Analysis of euro area banks under the Single Supervisory Mechanism (SSM) assessing their stock price sensitivity to yield curve shifts—level, slope, and curvature—using the Bayesian DCC M-GARCH model, with findings on risk exposure linked to business models and balance sheet composition.
Final report on EBA Guidelines on the security measures for operational and security risks under PSD2 (EBA-GL-2017-17)