EBA updated the list of diversified stock indices meeting requirements under the Capital Requirements Regulation or CRR (EU Regulation No 575/2013). The list was originally published in December 2013. This list of indices is part of the implementing technical standards drafted to calculate the capital requirements for position risk in equities, according to the standardized rules.
The list was updated according to the procedure and methodology laid down in the implementing standards and submitted to EC for endorsement. To ensure that the stock indices referred to in the Annex to Commission Implementing Regulation (EU) 945/2014 continue to meet the conditions necessary for their specific risk to be ignored, it is necessary to update the list of relevant appropriately diversified indices. The list uses data relative to 2018 for confirming the conditions that need to be verified for an index to be considered appropriately diversified in accordance with Article 344(4) of CRR. These implementing technical standards list relevant exchange traded and appropriately diversified indices for which specific risk can be ignored on the basis of the following criteria:
- The index must comprise a minimum number of equities.
- None of the equities or concentration of equities must significantly influence the volatility of the index.
- The index must comprise equities that are diversified both from a geographical and economic perspective.
Keywords: Europe, EU, Banking, Implementing Technical Standards, Diversified Indices, Capital Requirements, CRR, EBA
Previous ArticleFED Paper Examines Impact of Current Expected Credit Loss Standard
The Bank of England (BoE) published a consultation paper on approach to setting minimum requirement for own funds and eligible liabilities (MREL), an operational guide on executing bail-in, and a statement from the Deputy Governor Dave Ramsden.
The European Banking Authority (EBA) is seeking preliminary input on standardization of the proportionality assessment methodology for credit institutions and investment firms.
Certain regulatory authorities in the US are extending period for completion of the review of certain residential mortgage provisions and for publication of notice disclosing the determination of this review until December 20, 2021.
The Prudential Regulation Authority (PRA) published the policy statement PS18/21, which introduces an amendment in the definition of "higher paid material risk taker" in the Remuneration Part of the PRA Rulebook.
The European Banking Authority (EBA) published its annual report on asset encumbrance in banking sector.
The European Banking Authority (EBA) published a methodological guide to mystery shopping.
The Australian Prudential Regulation Authority (APRA) released a letter to authorized deposit-taking institutions to provide an update on key policy settings for the capital framework reforms, which will come into effect from January 01, 2023.
The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) published a report that assesses the business continuity planning activities of financial market infrastructures or FMIs.
The European Securities and Markets Authority (ESMA) has responded to the IFRS consultation on targeted amendments to the IFRS Foundation constitution to accommodate an International Sustainability Standards Board (ISSB) to set IFRS Sustainability Standards.
The Bank of England (BoE) published questions and answers (Q&A) on OSCA to BEEDS migration for statistical reporting as well a presentation from the project overview session held with statistical reporters.