EBA instructions for the 2016 CVA risk monitoring exercise outlining reporting requirements, scope, and templates for EU banks to assess credit valuation adjustment risks under CRR, supporting supervisory review and international Basel standards alignment.
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.
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.
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.
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
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)
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.
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.
EBA guidelines specifying corrections to modified duration calculations for debt instruments under Regulation (EU) 575/2013 to account for prepayment risk, applicable to competent authorities and financial institutions for own funds requirements under the standardized approach.
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