CRR standards published in OJEU: On 20 May several Delegated Regulations were published in OJEU introducing regulatory technical standards (RTS) under the Capital Requirements Regulation (CRR) on:

  • what constitutes the close correspondence between the value of an institution's covered bonds and the value of the institution's assets;
  • the information that competent authorities of home and host Member States supply to one another;
  • the definition of market;
  • the proxy spread and limited smaller portfolios for credit valuation adjustment risk;
  • the classes of instruments that adequately reflect the credit quality of an institution as a going concern and are appropriate to be used for the purposes of variable remuneration;
  • non-delta risk of options in the standardised market risk approach;
  • assessing the materiality of extensions and changes of the Internal Ratings Based Approach and the Advanced Measurement Approach; and
  • further defining material exposures and thresholds for internal approaches to specific risk in the trading book.

(Source: OJEU 20 May 2014)