The consultation paper expands the reporting on the Fundamental Review of the Trading Book (FRTB) approaches to the calculation of own funds requirements for market risks.
The expanded reporting will provide supervisors with the necessary data to monitor institutions’ compliance with the prudential rules.
The European Banking Authority (EBA) launched today a public consultation on its draft Implementing Technical Standards (ITS) amending the ITS on specific reporting requirements on market risks (FRTB reporting), aiming at providing supervisors with the necessary tools to monitor these risks. The consultation runs until 21 June 2023.
As the full implementation of the FRTB in the EU approaches, the proposals set out in the consultation paper complement the already existing reporting requirements with a comprehensive set of information on the instruments and positions to which institutions apply related to the FRTB approaches. The planned amendments will provide the supervisors with the necessary data to monitor institutions’ implementation of the FRTB approaches and their compliance with the own funds requirements for market risk. The amendments mostly affect institutions with significant business subject to market risk, thus reflecting the proportionality elements embedded in the Capital Requirements Regulation (CRR).
The consultation paper also illustrates a set of possible amendments to the ITS on supervisory reporting, mainly reflecting the trading book boundary framework. Those amendments are, in principle, relevant for all institutions.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 21 June 2023. All contributions received will be published following the end of the consultation, unless requested otherwise.
A public hearing will be organised in the form of a webinar on 25 May 2023 from 11:00 to 12:00 CET. The EBA invites interested stakeholders to register using this link by 22 May 2023 at 16:00 CET.
The dial-in details will be communicated to the registered participants.
These draft ITS have been developed in accordance with Article 430b(6) of Regulation (EU) No 575/2013, which mandates the EBA to develop uniform reporting templates, the instructions and methodology on how to use the templates, the frequency and dates of reporting, the definitions and the IT solutions. The original ITS were published as Regulation (EU) 2021/453.
The EBA expects to submit these draft ITS to the European Commission in autumn 2023. The revised reporting requirements are expected to apply from the reference date 30 September 2024.
The European Banking Authority (EBA) today launched a public consultation on its draft Implementing Technical Standards (ITS) on supervisory disclosures. The amended draft ITS incorporate the changes to the EU legal framework, in particular those related to supervisory reporting and investment firms.
These draft amending ITS aim at specifying the format, structure, contents list and annual publication date of the supervisory information to be disclosed by competent authorities. The amendments to the ITS aim to reflect the changes to the EU legal framework under (Capital Requirements Regulation) CRR2 and Capital Requirements Directive (CRD V), in particular those related to supervisory reporting for investment firms.
Moreover, by amending the existing supervisory disclosure framework, the draft ITS shall enhance the quality and comparability of the reported data by supervisors and enhance transparency by providing the market with more information.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 9 March 2023. All contributions received will be published following the end of the consultation, unless requested otherwise.
A public hearing will be organised in the form of a webinar on 28 February 2023 from 14:00 to 15:00 CET. The EBA invites interested stakeholders to register using this link by 24 February at 12:00 CET.
The dial-in details will be communicated in due course.
The ITS on supervisory disclosure have been developed in accordance with Article 143 of the CRD, which mandates the EBA to specify the format, structure, contents list and annual publication date of the information competent authorities shall publish on rules and guidance, options and discretions, general criteria and methodologies for the Supervisory Review and Evaluation Process (SREP) and aggregate statistical data on key aspects of the implementation of the prudential framework.
The amendments reflect changes resulting from the legislation adopting the banking package under Directive (EU) 2019/878 amending Directive 2013/36/EU (CRD V) and Regulation (EU) 2019/876 amending Regulation (EU) No 575/2013 (CRR2).
The former final draft ITS were published in the EU Official Journal on 15 March 2021.
The European Banking Authority (EBA) launched today a public consultation on its draft Implementing Technical Standards (ITS) on supervisory reporting with respect to IRRBB. Proportionality is a key consideration in the proposed new reporting, in order to make reporting requirements better suited to the size and risk of the institutions. The consultation runs until 2 May 2023.
These draft amending ITS aim at providing quality data to supervisors to monitor institutions’ IRBB risk and the implementation of the policy package published by the EBA in October 2022. The reporting package under consultation is particularly relevant in the current environment of high inflation combined with growing interest rates. Proportionality has been a key consideration when developing this package, building on the evidence and recommendations drawn from the EBA Cost of Compliance study. In this regard, the consultation paper includes simplified templates for the reporting by small and non-complex institutions (SNCIs) and asks for specific feedback on proportionality for medium institutions.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 2 May 2023. All contributions received will be published following the end of the consultation, unless requested otherwise.
A public hearing will be organised in the form of a webinar on 15 March 2023 from 14:00 to 16:00 CET. The EBA invites interested stakeholders to register using this link by 13 March at 16:00 CET.
The dial-in details will be communicated in due course
These draft ITS have been developed in accordance with Article 430(7) of Regulation (EU) No 575/2013, which mandates the EBA to develop uniform formats, definitions, frequencies and reference and remittance dates and IT solutions. These draft ITS has also follow up on the policy work on IRRBB that the EBA completed in October 2022.
The EBA expects to submit these draft ITS to the European Commission in mid 2023. The expected application of the revised requirements is for 30 June 2024 reporting reference date.
The European Banking Authority (EBA) today published a consultation paper on its draft Guidelines on the overall recovery capacity (ORC) in recovery planning. The Guidelines aim to set up a consistent framework for the determination of the ORC by institutions in their recovery plans and the respective assessment by competent authorities. The consultation runs until 14 March 2023.
The objective of the ORC is to provide a summary of the overall capability of the institution to restore its financial position after a significant deterioration by implementing suitable recovery options. The assessment by competent authorities of an institution’s overall recovery capacity allows to understand to what extent an institution would be able to recover from a range of potential crisis situations.
The main goal of the Guidelines is to harmonise the observed practices on the ORC determination and assessment, so as to improve the usability of recovery plans and make crisis preparedness more effective.
The Guidelines are composed of two sections. The first one addressed to institutions, aims at providing guidance on the relevant steps to set-up a reliable ORC framework. The second one, addressed to competent authorities, complements the framework by harmonising the core elements of the competent authorities’ assessment of the ORC from both a quantitative and qualitative perspective.
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 14 March 2023.
A public hearing will take place via conference call on 14 February 2023 from 9:30 to 11:30 (CET).
The EBA has developed the draft Guidelines on its own initiative, in accordance with Article 16 of its founding Regulation, which mandates the Authority to issue guidelines and recommendations addressed to competent authorities or financial institutions with a view to establishing consistent, efficient and effective supervisory practices within the ESFS, and to ensuring the common, uniform and consistent application of Union law.
The European Banking Authority (EBA) publishes today a consultation paper to amend the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2024 exercise. The most significant change is the roll out of the data collection for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP). For market risk it is proposed to add new templates for the collection of additional information, notably the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO). For credit risk, only minor changes are proposed.
The EBA benchmarking exercise forms the basis for both, supervisory assessment and horizontal analysis on the outcome of internal models. It ensures consistent monitoring of the variability of own funds requirements resulting from the application of internal models as well as on the impact of the several different supervisory and regulatory measures, which influence the capital requirements and solvency ratios in the EU.
Changes to the IFRS9 benchmarking
Changes to the market risk and credit risk benchmarking
Responses to the consultations can be sent to the EBA by clicking on the "send your comments" button on the consultation page.
All contributions received will be published after the consultation closes, unless requested otherwise. The deadline for the submission of comments is 28 February 2023.
A public hearing on this consultation will take place on the 9 February 2023 from 14:00 to 16:00 CET. Deadline for registration is 6 February at 16:00 CET.
These draft ITS have been developed in accordance with article 78 of the Capital Requirements Directive (CRD), which requires the EBA to specify the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercises. The latter are used by competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.
The European Banking Authority (EBA) launched today a public consultation on new Guidelines on the effective management of money laundering and terrorist financing (ML/TF) risks when providing access to financial services. Through these Guidelines, the EBA aims to ensure that customers, especially the most vulnerable ones, are not denied access to financial services without valid reason. This consultation runs until 6 February 2023.
Access to at least basic financial products and services is a prerequisite for organisations and individuals to participate in modern economic and social life. It can also save the lives of vulnerable customers, such as refugees or homeless people. However, such access is not always ensured.
To address this, the EBA is launching for public consultation on two new sets of Guidelines. The first set is adding a new section to the EBA’s ML/TF risk factors Guidelines, which set out what financial institutions should do to identify and tackle ML/TF risk. This new section will help financial institutions understand how NPOs are organised, how they can be different from other customers and what they can do to manage ML/TF risks associated with such customers effectively instead of denying them access to financial services.
The second set tackles the issue of effective management of ML/TF risks by financial institutions when providing access to financial services. These Guidelines clarify the interaction between the access to financial services and institutions’ AML/CFT obligations, including in situation where customers, including the most vulnerable, have legitimate reasons to be unable to provide traditional forms of identity documentation. In addition, they set out the steps institutions should take when considering whether to refuse or terminate a business relationship with a customer based on ML/TF risk or AML/CFT compliance grounds.
Comments to the consultations can be sent to the EBA by clicking on the "send your comments" button on the respective consultation pages. Please note that the deadline for the submission of comments is 6 February 2023.
A public hearing will take place via conference call on Tuesday 10 of January from 14:00 to 15:30.
All contributions received will be published following the end of the consultation, unless requested otherwise.
These Guidelines have been developed in response to the European Commission’s request following the publication of the EBA’s Opinion on de-risking. They build on the EBA Opinion on the application of customer due diligence measures to customers who are asylum seekers from higher-risk third countries or territories issued in 2016 and on the statement the EBA issued in the context of the war in Ukraine. They are also in line with the EBA’s legal mandate to lead, coordinate and monitor the EU financial sector’s fight against ML/TF.
The European Banking Authority (EBA) today launched a public consultation on its draft Guidelines addressed to institutions and resolution authorities on resolvability testing. The Guidelines aim to set-out a framework to ensure that resolvability capabilities developed to comply with the resolvability and transferability Guidelines are fit for purpose and effectively maintained. The consultation runs until 15 February 2023.
Resolution authorities and banks should now move to the resolvability testing following several years of policy development by authorities and policy implementation by institutions. Both now need to ensure that the arrangements put in place to support the execution of the resolution strategy are in fact adequate and that institutions will be ready to use those in the run-up to and upon entry into resolution.
The Guidelines are also aiming to promote the involvement of firms into the resolvability assessment process and increase they ownership of resolvability. As such, as a starting point, they propose that institutions submit a resolvability self-assessment annually where to set out how they will meet the resolvability capabilities and how they have gained assurance of their adequacy.
On the basis of this self-assessment, the Guidelines are proposing that authorities develop multi-annual testing programme so as to gain assurance of firms’ resolvability while providing sufficient visibility to banks.
Finally, for the most complex banks, the Guidelines are proposing to have them develop a master playbook to ensure a holistic approach to resolution planning.
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 15 February 2023.
A public hearing will take place via conference call on 11 January 2023 from 9:30 to 11:30 (CET).
The EBA has started several initiatives aiming to harmonise the approach to resolvability at EU-27 level and ensure the implementation of international standards on the matter. These draft Guidelines complement the already published Guidelines for institutions and resolution authorities on improving banks’ resolvability and the draft Guidelines on transferability. Further work is underway on the topic of resolvability transparency and resolvability in steady state.
The European Banking Authority (EBA) launched today a public consultation on its draft Regulatory Technical Standards (RTS) on the determination by originator institutions of the exposure value of synthetic excess spread (SES) in securitisations. The Capital Markets Recovery Package (CMRP) amended the Capital Requirements Regulation (CRR) in several aspects, including a preferential treatment for senior tranches of simple, transparent and standardised (STS) on-balance-sheet securitisations. It also introduced a provision on how to determine the exposure value of SES in synthetic securitisations. The proposals set out in this Consultation Paper will contribute to a more risk sensitive prudential framework in the area of synthetic securitisation. The consultation runs until 14 October 2022.
The CMRP set out a preferential treatment for the senior tranches retained by the originator institutions in STS on-balance-sheet securitisations under certain conditions, based on the qualitative requirements set out for these transactions in the Securitisation Regulation. This reduction on capital requirements was accompanied by a capital charge on SES, due to concerns related to regulatory arbitrage opportunities which may arise.
These arbitrage opportunities can occur when an originator institution provides credit enhancement to the securitisation positions held by protection providers by contractually designating certain amounts to cover losses of the securitised exposures during the life of the transaction. These amounts, which encumber the originator institution’s income statement in a manner similar to an unfunded guarantee were not previously risk weighted.
The Consultation Paper further specify how originator institutions are to determine the exposure value of SES, taking into account the relevant losses expected to be covered by it. In particular, the focus is on the exposure value of SES of future periods, and on the so-called “trapped and use-it-or-lose-it” mechanisms.
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 14 October 2022.
A public hearing will take place via conference call on 6 September 2022 from 11:00 to 12:00 CET.
These draft RTS have been developed in accordance with Article 248(4) of Regulation (EU) No 575/2013 (the CRR) as amended by the Regulation (EU) 2021/558 of 31 March 2021 (as part of the CMRP), which mandates the EBA to develop draft RTS to specify how originator institutions are to determine the exposure value referred to in Article 248(1)(e) of CRR, taking into account the relevant losses expected to be covered by SES.
The European Banking Authority (EBA) launched today a public consultation on its draft revised Guidelines on deposit guarantee schemes (DGS) contributions. The revised Guidelines aim at enhancing the proportionality between the risk of a credit institution and its contributions to the DGS and at streamlining and simplifying the original Guidelines. The consultation runs until 31 October 2022.
The Guidelines on DGS contributions harmonise the methodology for the DGS to collect contributions from credit institutions in proportion to their riskiness. In its 2021-2022 review of the Guidelines, the EBA identified that those credit institutions that have become subject to a DGS intervention since 2015 were mostly categorised amongst the riskiest members of their DGS. Thus, the EBA concluded that the methodology set out in the Guidelines remains appropriate. Nonetheless, the EBA identified elements that should be improved. The most substantial proposals included in this Consultation Paper are to:
Finally, the EBA streamlined and simplified the Guidelines significantly, to make them clearer.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 31 October 2022. All received contributions will be published at the end of the consultation, unless requested otherwise.
A public hearing on the draft revised Guidelines will take place via online meeting on Thursday 29 September 2022 from 10:00 to 12:00 CEST. Please register for the hearing here by 27 September 2022 16:00 CEST.
Article 13(3) of Directive 2014/49/EU on deposit guarantee schemes (DGSD) mandates the EBA to issue Guidelines to specify methods for calculating the contributions to DGSs. To that end, the EBA issued Guidelines EBA/GL/2015/10 on methods for calculating contributions to deposit guarantee schemes on 22 September 2015, which had to be implemented by 31 May 2016. Furthermore, Article 13(3) of the DGSD further requires the EBA to conduct a review of said Guidelines every five years with the first review to be conducted by 3 July 2017.
Accordingly, the EBA published the EBA Report on the implementation of the EBA Guidelines on methods for calculating contributions to deposit guarantee schemes on 17 January 2018. In that report, the EBA made specific recommendations for revising the current Guidelines. It however stated that the findings were preliminary, given the limited experience of operating the risk-based contribution systems among most DGSs, and data covering only one year of risk-based contributions and thus did not revise the Guidelines at the time.
The European Banking Authority (EBA) launched today a consultation on its supervisory handbook for the validation of internal ratings based systems. This handbook clarifies the role of the validation function as part of corporate governance, in particular in terms of scope of work and interaction with the credit risk control unit. The consultation runs until 28 October 2022.
This handbook provides some general guidance on the expectations relative to the validation function, as already laid out in Article 185 of the Capital Requirements Regulation (CRR). It builds on the EBA regulatory technical standards (RTS) and guidelines which are part of the ‘IRB repair roadmap’, and provides a detailed description of the areas which the validation function is expected to assess.
In practice, the handbook does not present any specific methodology to be used by the validation function. Instead, the handbook specifies which elements of institutions’ rating systems are expected to be assessed by the validation function. As such, it covers both the tasks related to the pure model performance assessment, mirroring the CRR distinction between risk differentiation and risk quantification, as well as the tasks dealing with the modelling environment, such as data quality and model implementation assessment. While describing the specificities of the validation function tasks, the handbook clarifies its relationship with other functions related to the corporate governance, such as the credit risk control unit and the internal audit.
In addition, the handbook provides a set of expectations and good practices on the work of the validation function depending on its position in the model cycle (i.e. first or subsequent validation), as well as some additional guidance for the validation of rating systems when using external data, when outsourcing some validation tasks, as well as in a situation of data scarcity.
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 28 October 2022.
A public hearing will take place via conference call on 4 October 2022 from 14:00 to 16:00 CEST. The deadline for registration is the 3 October 2022, 18:00 CEST.
All contributions received will be published after the consultation closes, unless requested otherwise.
The task of the EBA to develop and maintain a supervisory handbook stems from Article 8(1)(aa) of the Regulation (EU) No 1093/2010 (the ‘EBA Regulation’). The supervisory handbook should cover all matters which are within the EBA's remit with the aim to set out best supervisory practices rather than provide further specifications for the application of the legislation.
The supervisory handbook, just like the EBA Guidelines, is non-binding nature, of general application and acts of Union law whose validity can be determined only by the Union courts in a preliminary ruling. However, unlike guidelines, the supervisory handbook is not addressed directly to financial institutions but to competent authorities, and does not limit their judgment-led supervision. As no ‘comply or explain’ mechanism is applicable to the handbook, any departure from it can be justified merely on the needs of judgment-led supervision.