BANKING

Final EBA guidelines on application of IRB approach under CRR

The EBA has published its final guidelines on the application of the internal ratings-based (IRB) approach under the Capital Requirements Regulation (CRR). The guidelines specify the requirements for the estimation of probability of default (PD) and loss given default (LGD), including LGD for defaulted exposures (LGD in-default) and best estimate of expected loss (ELBE). The focus of the guidelines is on the definitions and modelling techniques used in the estimation of risk parameters for both non-defaulted and defaulted exposures. The EBA considers that the clarification in the guidelines is needed to achieve comparability of risk parameters estimated on the basis of internal models, and to restore trust in these models by market participants

EBA, 20 November 2017

ECB speech on banks' Brexit preparation plans

The European Central Bank (ECB) has published a speech given by Sabine Lautenschläger, ECB Executive Board Member and Supervisory Board Vice-Chair. The speech considers banks' preparations for Brexit and Ms Lautenschläger repeats concerns raised by the ECB in an article published on 15 November 2017, relating to UK banks' relocation plans concerning risk management and "dual-hatting"

ECB, 20 November 2017

INSURANCE

Joint Committee of ESAs updates Q&A on PRIIPs KID: November 2017

The Joint Committee of the European Supervisory Authorities (ESAs) has published an updated version of its Q&A document on key information document (KID) requirements for packaged retail and insurance-based investment products (PRIIPs), as laid down in Commission Delegated Regulation (EU) 2017/653. New Q&As in the following sections of the document are included:

  • General topics: new Q&As on whether a KID is always required when an investment product is listed on a regulated market and the definitions of the terms "biometric risk premium" and "insurance premium".
  • Market risk assessment: includes a new Q&A on how credit-linked notes should be treated under the Delegated Regulation.
  • Performance scenarios: contains a new Q&A on how the number of trading periods to use should be calculated under Point 9 of Annex IV of the Delegated Regulation and how the term "rolling" in Point 10(c) of Annex IV should be applied.

Joint Committee of ESAs, 20 November 2017

 

Updated EPC SEPA guidelines and clarifying papers for rulebooks

The European Payments Council (EPC) has published the following relating to the Single Euro Payments Area (SEPA):

  • A clarification paper (EPC131-17) on SEPA credit transfer (SCT) and SEPA instant credit transfer (SEPA Inst) rulebooks. An accompanying webpage has also been issued.
  • A clarification paper (EPC132-17) on SEPA direct debit core and SEPA direct debit (DD) business-to-business (B2B) rulebooks. An accompanying webpage has also been issued.
    • Updated guidance (EPC173-14) (version 4.0) on reason codes for SEPA DD rulebook transactions. An accompanying webpage explains that the updated guidance incorporates recent changes to the rulebooks.
    • Updated guidance (EPC 262-08) (version 5.0) on creditor identifiers (CIs). The objective of the document is to provide basic information to allow creditor banks to check on the validity of CIs by providing information on CI characteristics per SEPA country.
    • Updated SEPA scheme management internal rules (EPC207-14) (version 4.1). An accompanying webpage has also been issued which states that this version took effect on 19 November 2017.
    • Updated guidelines (EPC 392-08) (version 3.0) on the appearance of mandates for the SEPA DD core and DD B2B schemes.

European Payments Council, 20 November 2017

 

INVESTMENT AND FUNDS

ESMA video and slides on LEI requirements under MiFID II

The ESMA has published a video and accompanying presentation slides (ESMA71-99-662). The video and slides were used for a webinar on the legal entity identifier (LEI) requirements under the MiFID II Directive (2014/65/EU) and the Markets in Financial Instruments Regulation (Regulation 600/2014) (MiFIR), and covers:

  • Scope and deadlines.
  • LEI requirements.
  • Reporting scenarios.

ESMA, 20 November 2017

 

ESMA updates Q&A on EMIR implementation

The ESMA has published an updated version of its Q&A on the implementation of EMIR. Part III of the Q&A, on trade repositories, has been amended as follows:

  • Q&A 24(b) – this new Q&A concerns buy/sell indicators. ESMA states that, for FX swaps and cross-currency swaps, where multiple exchanges of currencies take place, the relevant point in time for the determination of the buyer and seller should be the far leg, which is closer to the maturity date.
  • Q&A 40 has been updated – the Q&A concerns updating legal entity identifiers (LEIs) as a result of mergers or acquisitions and has been modified to clarify that, to the extent possible, the reporting entity should provide the required information in advance so that the change is not done retrospectively but by the date on which it takes place.
  • Q&A 44 – the answer to Q&A 44, which concerns the validation of reports related to old outstanding trades, has been slightly modified.

ESMA, 20 November 2017

 

ESMA updates Q&As on implementation of CRA III

The ESMA has published an updated version of its Q&As on the implementation of the CRA III Regulation (Regulation 462/2013). The ESMA has added two new sections; one on organisational requirements to the Q&As and another which addresses the rotation periods applicable to analysts and persons involved in the approval of ratings

ESMA, 20 November 2017

 

Capital Markets Union: Council formally adopts Securitisation Regulation and CRR Amendment Regulation

Announced in a press release, the General Affairs Council has formally adopted the European Commission proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) 575/2013 on prudential requirements for credit institutions and investment firms and the European Commission proposal for a Regulation of the European Parliament and of the Council laying down common rules on securitisation and creating a European framework for simple, transparent and standardised securitisation at first reading.

Council Markets Union, 20 November 2017

European Commission recommendations to improve European corporate bond markets

The European Commission has published a report outlining recommendations to improve European corporate bond markets. An expert group on corporate bond markets liquidity was established by the Commission and has drafted the report. The report delivers 22 recommendations, in pursuit of six objectives, to foster the development of corporate bond markets in Europe.

European Commission, 20 November 2017