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ESAs publish final draft technical standards amending margin requirements for non-centrally cleared OTC derivatives
The European Supervisory Authorities (EBA, EIOPA, ESMA - ESAs) published today their jointly developed draft Regulatory Technical Standards (RTS) amending the framework of the European Market Infrastructure Regulation (EMIR) with regard to physically settled foreign exchange (FX) forwards. These amendments aim at aligning the treatment of variation margin for physically-settled FX forwards with the supervisory guidance applicable in other key jurisdictions.
Discussion on the Significant Risk Transfer in Securitisation
Discussion Paper on EU implementation of MKR and CCR revised standards
EBA publishes Discussion Paper on EU implementation of the revised market and counterparty credit risk frameworks
The European Banking Authority (EBA) published today a Discussion Paper on the implementation in the European Union (EU) of the revised market risk and counterparty credit risk frameworks, i.e. the Fundamental Review of the Trading Book (FRTB) and the Standardised Approach for Counterparty Credit Risk (SA-CCR). This paper discusses some of the most important technical and operational challenges to implement the FRTB and SA-CCR in the EU. The paper aims at providing some preliminary views on how these implementation issues could be addressed and, at the same time, seeks early feedback from the stakeholders on the proposals. The paper also puts forward a roadmap for the development of the regulatory deliverables on the FRTB and SA-CCR included in the CRR2 proposal. The consultation runs until 15 March 2018.
EBA report shows that EU banks comply with LCR requirement of 100% ahead of its full implementation
The European Banking Authority (EBA) published today its fourth impact assessment Report for the liquidity coverage ratio (LCR), which shows that EU banks have continued to improve their LCR since 2011. At the reporting date of 31 December 2016, EU banks’ average LCR was significantly above the 100% minimum requirement, which will have to be fully implemented by 1 January 2018. In addition, a more in-depth analysis suggests that the LCR regulation, together with capital standards and stable funding, have helped banks increase their lending to real economy. The Report is based on liquidity data and wider bank balance sheet statistics from 157 EU banks across 16 Member States.
EBA Report on Liquidity Measures under Article 509(1) of the CRR.pdf
EBA Report on Liquidity Measures under Article 509(1) of the CRR
Annex 5 (Market Risk instruments and portfolios).pdf
EBA GL 2017 05-CT GLs on ICT Risk Assessment under the Supervisory Review.pdf
Annex 6 (Market risk template reporting instructions).pdf
Consultation Paper on ITS amending Com Impl. Regulation EU 2016-2070 on Benchmarking (EBA-CP-2017-23).pdf
Consultation Paper on ITS amending Com Impl. Regulation EU 2016-2070 on Benchmarking (EBA-CP-2017-23)
Discussion Paper on EU implementation of MKR and CCR revised standards (EBA-DP-2017-04).pdf
Discussion Paper on EU implementation of MKR and CCR revised standards (EBA-DP-2017-04)
Annex 1 (Credit risk portfolios).xlsx
Annex 3 (Credit risk reporting templates).xlsx
Annex 2 (Credit risk portfolio definitions).pdf
Annex 7 (Market risk templates).xls
Annex 4 (Credit risk reporting instructions).pdf
EBA consults on draft Technical Standards on risk retention for securitisation transactions
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.
EBA consults on the homogeneity of underlying exposures in securitisation
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).pdf
Consultation Paper on RTS on risk retention (EBA-CP-2017-22)