Search
Discussion paper on the treatment of structural FX under Article 352(2) of the CRR
EBA corrects portfolio identifiers for 2018 benchmarking exercise to ensure effective data validation
The European Banking Authority (EBA) rectified today Annex 1 of its Implementing Technical Standards (ITS) on benchmarking of internal approaches, which had been amended on 4 May 2017 to define the benchmarking portfolios for the 2018 benchmarking exercise.
BSG response to EBA Discussion Paper on the Treatment of Structural FX (EBA DP 2017 01)_22 September 2017.pdf
BSG response to EBA Discussion Paper on the Treatment of Structural FX (EBA DP 2017 01)_22 September 2017
Discussion on the treatment of structural FX under Article 352(2) of the CRR
Discussion Paper on the treatment of structural FX (EBA-DP-2017-01).pdf
Discussion Paper on the treatment of structural FX (EBA-DP-2017-01)
EBA publishes Discussion Paper on the treatment of structural FX
The European Banking Authority (EBA) launched today a Discussion Paper on the application of the structural FX provision. The paper outlines the rationale behind the treatment of structural positions as well as broader issues related to the structural FX concept, such as the actual nature of FX risk, considering both the accounting and regulatory perspectives. It also examines in greater detail the potential inconsistencies in the articulation of the FX requirements, both in the current Capital Requirements Regulation (CRR) as well as in the CRR2 proposal for institutions applying the standardised and internal model approaches. The consultation runs until 22 September 2017.
Template - 2016 CVA risk monitoring exercise.xlsx
Instructions - 2016 CVA risk monitoring exercise.pdf
Report on 2015 CVA risk monitoring exercise
Report on 2015 CVA risk monitoring exercise
Amending RTS to RTS on proxy spread (EBA-RTS-2017-07).pdf
Amending RTS to RTS on proxy spread (EBA-RTS-2017-07)
Regulatory Technical Standards amending RTS on CVA proxy spread
EBA launches 2016 CVA risk monitoring exercise
The European Banking Authority (EBA) announced today it has put on hold its draft Guidelines on the treatment of CVA risk under SREP until further notice, due to continued developments in the CVA risk framework at international level. However, monitoring work continues with the EBAs 2016 credit valuation adjustment (CVA) risk monitoring exercise, which was launched today. The exercise fits into the EBA mandate to monitor the own funds requirements for CVA risk and follows on from policy recommendation No 4 of the CVA Report. The EBA expects institutions to complete the exercise by 14 September 2017.
EBA publishes draft amending technical standards on CVA proxy spread
The European Banking Authority (EBA) published today its draft amending Regulatory Technical Standards (RTS) on credit valuation adjustment (CVA) proxy spread. These RTS propose limited amendments to the Commission Delegated Regulation (EU) No 526/2014 for determining proxy spread and limited smaller portfolios for credit valuation adjustment risk, based on two policy recommendations contained in the EBA’s CVA report, published on 25 February 2015. Through the proposed amendments the EBA expects to ensure a more adequate calculation of own funds requirements for CVA risk.
EBA welcomes enhanced FX Global Code
The European Banking Authority (EBA) welcomes the enhancement of the FX Global Code (the Code) and the publication of its May 2017 update. The objective of the Code is to promote a robust, fair, liquid, open, and transparent market underpinned by high ethical standards, which shall benefit all wholesale FX market participants. The Code's guidelines for responsible participation in the FX market are in line with the EBA's work aimed at fostering financial institutions' effective governance and enhanced consumer protection in all areas of financial products and services.
EBA issues amended technical standards on benchmarking of internal approaches
The European Banking Authority (EBA) published today an amended version of its Implementing Technical Standards (ITS) on benchmarking of internal approaches. These amendments aim at ensuring a better quality of the submitted data and, ultimately will assist the EBA and competent authorities in their 2018 assessment of internal approaches for credit and market risk. The EBA plans to annually update the ITS to ensure future benchmarking exercises are relevant and successful.
EBA Report results from the 2016 market risk benchmarking exercise - March 2017.pdf
EBA Report results from the 2016 market risk benchmarking exercise - March 2017.pdf
EBA publishes final draft technical standards on exclusion from CVA of non-EU non-financial counterparties
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) specifying the procedures for excluding transactions with non-financial counterparties (NFCs) established in a third country from the capital requirement for credit valuation adjustment (CVA) risk. The proposed RTS aim at harmonising the treatment of NFCs established in a third country across EU Member States.
Final draft RTS on procedures for excluding 3rd country NFCs (EBA-RTS-2017-01).pdf
Final draft RTS on procedures for excluding 3rd country NFCs (EBA-RTS-2017-01)
EBA updates list of correlated currencies
The European Banking Authority (EBA) updated today the list of closely correlated currencies that was originally published in December 2013 and updated in May 2015. The list is part of the implementing technical standards (ITS) that were drafted for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS.