EBA consults on PII cover for mortgage intermediaries: EBA is consulting on a draft Regulatory Technical Standard (RTS) on the minimum monetary amount of Professional Indemnity Insurance (PII) or similar guarantee that firms covered by the MCD should hold. The paper identifies four options for calculating the requirement and asks for comment by 18 March 2014. (Source: EBA Consults on PII Cover for Mortgage Intermediaries)

EBA publishes CCP ITS: EBA has published its final draft Implementing Technical Standards (ITS) on the reporting of the hypothetical capital of a Central Counterparty (CPP) for the purposes of the European Market Infrastructure Regulation (EMIR) as amended by the Capital Requirements Regulation (CRR). It has sent the ITS to the Commission for formal adoption. (Source: EBA Publishes CCP ITS)

EBA publishes supervisory disclosure ITS: EBA has published its final draft ITS on the format, structure, contents list and annual publication date of the supervisory information to be disclosed by competent authorities in the banking sector under the fourth Capital Requirements Directive (CRD 4). The standards take the form of a number of templates designed for use in specific situations. The ITS are now with the Commission for adoption. (Source: EBA Publishes Supervisory Disclosure ITS)

EBA publishes unrealised gains advice: EBA has published its technical advice to the Commission on possible treatments of unrealised gains measured at fair value. The advice says unrealised gains show significant volatility and may disappear quickly in certain market conditions. Since at times unrealised gains could represent a significant proportion of credit institutions' own funds, EBA sees advantages in introducing prudential filters for unrealised gains. (Source: EBA Publishes Unrealised Gains Advice)

EBA consults on liquidity and funding risk methodology: EBA is consulting on a draft methodology for the calculation of liquidity and funding risk under its supervisory reporting and evaluation process (SREP). It hopes the paper will help supervisors and colleges reach a consistent view on liquidity for the first time. It asks for comments by 28 February 2014. (Source: EBA Consults on Liquidity and Funding Risk Methodology)

EBA updates single rulebook Q&A: EBA has published several new answers in its single rulebook Q&A. (Source: EBA Updates Single Rulebook Q&A)

EBA consults on funding plans: EBA is consulting on draft Guidelines which set out harmonised definitions and templates for funding plans of credit institutions. The consultation follows a request from the European Systemic Risk Board (ESRB) and the guidelines seek to establish consistent, efficient and effective supervisory practices by harmonising templates and definitions, in order to facilitate the reporting of funding plans by credit institutions. EBA asks for comment by 20 March 2014. (Source: EBA Consults on Funding Plans)

EBA publishes RTSs on market and CVA risk: EBA has published its final draft RTSs on the definition of market and Credit Valuation Adjustment (CVA) risk under the CRR. The RTS on market risk define "market" in relation to the calculation of the overall net position in equity instruments under the market risk standardised rules. The RTS on CVA risk, which are accompanied by an opinion, relate to the determination of a proxy spread and the specification of a limited number of smaller portfolios. They set out the data quality requirements and the minimum granularity of the attributes of rating, industry and region that institutions should consider when estimating an appropriate proxy spread for the determination of the own funds requirements for CVA. The Commission now needs to adopt the RTSs as Regulations. (Source: EBS Publishes RTSs on Market and CVA Risk)

EBA publishes RTS on geographical location of exposures: EBA has published its final draft RTS on how to establish the geographical location of credit, trading and securitisation exposures for the purposes of CRD 4. The main principle for identifying the geographical location of relevant exposures is the residence of the obligor. For trading book exposures, banks that use internal models to calculate the geographical location of trading book exposures will have to work out the location of these exposures by running their internal models on sub-portfolios split by geographical location. The Commission must now adopt the RTS. (Source: EBA Publishes RTS on Geographical Location of Exposures)

EBA publishes guidelines on FX lending: EBA has published its guidelines for capital measures for FX lending to unhedged borrowers under the SREP. They set out the method regulators should use when FX lending risk is deemed to be material and also when capital measures are deemed to be an appropriate method of treating this risk. They also allow for regulators to use other supervisory measures where they think it appropriate. EBA has sent the guidelines to ESRB. (Source: EBA Publishes Guidelines on FX Lending)

EBA publishes liquidity reports: EBA has submitted to the Commission reports on:

  • the impact assessment for liquidity coverage requirements; and
  • appropriate uniform definitions of extremely high quality liquid assets and high quality liquid assets and on operational requirements for liquid assets.

On the basis of these reports, the Commission is due to make delegated legislation by June 2014. (Source: EBA Publishes Liquidity Reports)

EBA consults on disclosure of encumbered and unencumbered assets: EBA is consulting on draft guidelines on disclosure of encumbered and unencumbered assets, following an ESRB recommendation. The guidelines set out three disclosure templates that institutions will have to fill in together with some additional information about the importance of encumbrance in their individual funding model. EBA asks for comments by 20 March 2014. (Source: EBA Consults on Disclosure of Encumbered and Unencumbered Assets)

EBA updates on banking sector risks: EBA has published its half-yearly report on the risks and vulnerabilities the banking sector faces. It says there have been improvements in market confidence, funding and capital positions. However, it is worried about ongoing uncertainties on asset valuations and future profitability in a fragile economic environment. It also singles out the risks of detrimental business practices and suggests possible measures for addressing vulnerabilities through coordinated policy and supervisory actions. 

(Source: EBA Updates on Banking Sector Risks)