EBA Launches 2016 CVA Risk Monitoring Exercise
The European Banking Authority (EBA) announced 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 September 14, 2017.
EBA Publishes Draft Amending Technical Standards on CVA Proxy Spread
The European Banking Authority (EBA) published 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.
EBA Publishes Discussion Paper on the Treatment of Structural FX
The European Banking Authority (EBA) has launched a discussion paper on the application of the structural FX provision. The paper outlines the rationale behind the treatment of structural positions as well as broader issues related to the structural FX concept, such as the actual nature of FX risk, considering both the accounting and regulatory perspectives. It also examines in greater detail the potential inconsistencies in the articulation of the FX requirements, both in the current Capital Requirements Regulation (CRR) as well as in the CRR2 proposal for institutions applying the standardized and internal model approaches.
ECB Publishes ELA Agreement
The European Central Bank (ECB) has published the text of the Emergency Liquidity Assistance (ELA) agreement following a decision by its Governing Council to increase transparency regarding ELA. The rules and procedures applying to the provision of ELA are laid down in the ELA agreement, which also sets out the Governing Council’s role in the provision of ELA by national central banks (NCBs).
ESMA Releases Consultation Paper on Derivatives Trading Under MiFIR
The European Securities and Markets Authority (ESMA) has published a consultation paper regarding its draft technical standards specifying the trading obligation for derivatives under the Markets in Financial Instruments Regulation (MiFIR). MiFIR, which implements parts of the MiFID II framework, outlines the process for determining which derivatives should be traded on-venue.
Bank of England Releases Quarterly Bulletin
The Bank of England released its Quarterly Bulletin for Q2 2017, which features articles entitled "An Improved Model for Understanding Equity Prices" and "Peering Into the Present: the Bank’s Approach to GDP Nowcasting."
PRA Releases Consultation Paper on Recovery Planning
The Prudential Regulation Authority released a consultation paper on recovery planning. The PRA proposes a new supervisory statement on recovery planning that would supersede SS18/13 ‘Recovery Planning’ and that sets out additional expectations of firms. Comments are due by September 21, 2017.
PRA Releases Consultation Paper on EBA Counterparty Credit Risk Guidelines
The Prudential Regulation Authority released a consultation paper on compliance with the EBA's Guidelines on Disclosure: Composition of Collateral for Exposures to Counterparty Credit Risk. Comments are due by August 21, 2017.
Mark Carney Speaks on Brexit
Bank of England Governor Mark Carney delivered a speech entitled "A Fine Balance” in London on June 20, 2017. Carney argued that in Brexit negotiations, policymakers can and should build on current models to develop a new form of regulatory and supervisory cooperation.
James Proudman Speaks on Ring-Fencing
Bank of England Executive Director of UK Deposit Takers Supervision, Prudential Regulation Authority, James Proudman, delivered a speech entitled "Putting Up a Fence" before the British Bankers' Association at Pinners Hall in London, United Kingdom.