Report on the interaction with EMIR (ESAS-2017-82 ).pdf
Report on the interaction with EMIR (ESAS-2017-82 )
Report on the interaction with EMIR (ESAS-2017-82 )
The European Banking Authority (EBA) and the European Securities and Markets Authority (ESMA) published today their joint report on the functioning of the Capital Requirements Regulation (EU) No 575/2013 (CRR) with the European Market Infrastructure Regulation (EU) No 648/2012 (EMIR). The report calls for the requirements for credit, market, and counterparty credit risk in the CRR to be clarified. This clarification should ensure that only risks not already covered by specific financial resources for activities not related to clearing are to be covered by CRR requirements. This exclusion should also be extended to activities covered by interoperability arrangements.
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) that specify the conditions under which Competent Authorities assess the significance of positions included in the scope of market risk internal models, as well as the methodology they shall apply when assessing an institution’s compliance with the requirements to use an Internal Model Approach (IMA) for market risk. These draft RTS are a key component of the EBA's work to ensure consistency in models’ outputs and comparability of risk-weighted exposures and will contribute to harmonise the supervisory assessment methodology across all EU Member States and, ultimately, to restore confidence in the use of such models for regulatory purposes.
Final draft RTS on the IMA assessment methodology & significant shares (EBA-RTS-2016-07)
The European Banking Authority (EBA) published today a Report in response to two calls for advice to assist the European Commission in the adoption into European legislation of two new international frameworks proposed by the Basel Committee on Banking Supervision (BCBS): (i) a new standardised framework for counterparty risk (CCR), i.e. the so-called SA-CCR, and (ii) a new market risk (MKR) framework - the so-called fundamental review of the trading book (FRTB). In the Report, the EBA focuses on the envisaged impact of these two frameworks, for both large and small firms, and issues recommendations on their implementation.
EBA Letter to Olivier Guersent in response to the CfAs on revision of the own fund requirements for market risk and counterparty credit risk
Report on SA CCR and FRTB implementation (EBA-Op-2016-19)
On 18 November 2016, from 13.00 to 16.00 UK time, the European Banking Authority (EBA) will be holding a public hearing to outline its draft proposals on the European covered bond framework. The hearing comes as a follow-up to the recommendation by the European Systemic Risk Board (ESRB) and ahead of the expected publication of the final report by end of 2016.
Final report on Guidelines on corrections to modified duration for debt instruments (EBA-GL-2016-09)
The European Banking Authority (EBA) published today its final Guidelines on corrections to modified duration for debt instruments. The objective of these Guidelines is to establish what type of adjustments to the modified duration (MD) - as defined according to the formulas in the Capital Requirements Regulation (CRR) - have to be performed in order to appropriately reflect the effect of the prepayment risk. The Guidelines will contribute towards the successful implementation of the Commission's securitisation package under the Capital Markets Union reform, giving clarity on the matter to credit institutions.
EBA-CP-2016-04 (Consultation Paper amending RTS on CVA proxy spread)
The European Banking Authority (EBA) launched today a public consultation on draft amending Regulatory Technical Standards (RTS) on credit valuation adjustment (CVA) proxy spread. These RTS propose limited amendments to Commission’s Delegated Regulation (EU) No 526/2014 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. The consultation runs until 06 July 2016.
The European Banking Authority (EBA) launched today a public consultation on draft Guidelines on corrections to modified duration for debt instruments. These Guidelines aim to establish what type of adjustments to the modified duration (MD) - as defined according to the formulas in the Capital Requirements Regulation (CRR) - have to be performed in order to appropriately reflect the effect of the prepayment risk. The consultation runs until 22 June 2016.
Consultation Paper on Guidelines on corrections to modified duration for debt instruments (EBA-CP-2016-03)