EBA updates single rulebook FAQs: EBA has published seven new questions and answers on its single rulebook FAQs. (Source: EBA Updates Single Rulebook FAQs)
EBA publishes LCR reporting amendment responses: EBA has published the responses it received to its consultation on amendments to the ITS amending the Commission's Implementing Regulation in respect of the Liquidity Coverage Ratio (LCR). The consultation covered new templates that credit institutions will have to use. (Source: EBA Publishes LCR Reporting Amendment Responses)
EBA advises Commission on CVA: EBA has published an Opinion addressed to the Commission on calculation of own funds requirements for Credit Valuation Adjustment (CVA) risk. The Opinion contains 16 policy recommendations that stem from an extensive technical analysis that EBA has published alongside the Opinion. EBA conducted a CVA data collection exercise on a sample of 32 banks in 11 jurisdictions. This highlighted CVA risks that are not covered by EU legislation because of CRR exemptions. EBA proposes that:
- the Commission reconsider or remove exemptions on the application of CVA charges, since they leave potential risks uncaptured. However, it says the Basel Committee should carry out the initial review of the CVA framework;
- to partially address risks in the short term, the impact of the transactions exempted from the CVA risk charge be monitored, and potential situations of excessive CVA risks defined;
- over the course of 2015 EBA will provide details about process and timeline, as well as on the potential thresholds that could lead to excessive CVA risks, for use in the 2016 supervisory and reporting evaluation process; and
- the CVA risk charge be realigned with actual CVA risk to better reflect banks' internal practices and ensure that a prudent capture of CVA risks does not generate unintended market distortions or poor incentives for banks.
(Source: EBA Advises Commission on CVA Risk)