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Report on 2016 CVA risk monitoring exercise.pdf
Report on 2016 CVA risk monitoring exercise
EBA publishes results of its 2016 CVA risk monitoring exercise
The European Banking Authority (EBA) published today a Report on its 2016 CVA risk monitoring exercise, which assesses the impact on own funds requirements of the reintegration of the transactions currently exempted from the scope of the CVA risk charge. The results, in line with those of the previous monitoring exercise, continue to show the materiality of CVA risks that are currently not capitalised due to the CRR exemptions.
Implementing Technical Standards on closely correlated currencies
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 October 2016 . 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 and submitted to the European Commission for endorsement.
EBA published an assessment of the current credit risk mitigation framework
The European Banking Authority (EBA) published today a Report, which assesses the current Credit Risk Mitigation (CRM) framework, as part of its work on the review of the IRB approach. This Report is part of the 4th and last phase of the EBA’s roadmap on the IRB approach, which also includes a review of supervisory practices, a harmonised definition of default and clarifications on modelling approaches to be used by institutions.
EBA Report on CRM framework.pdf
EBA Report on CRM framework
Discussion on the EU implementation of MKR and CCR revised standards
Consultation on ITS on Supervisory Benchmarking framework for 2019
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.
Annex 5 (Market Risk instruments and portfolios).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)