Featured Product

    EC Sets Out Draft Regulation on Calculation of Jump-to-Default Amounts

    August 12, 2022

    The European Central Bank (ECB) published its opinion on the establishment and functioning of the European Single Access Point (ESAP), which is expected to provide centralized access to publicly available information of relevance to financial services, capital markets, and sustainability, as envisaged in the Capital Markets Union (CMU) Action Plan adopted by the European Commission (EC) in September 2020. In addition, EC published text for delegated regulation that supplements the Capital Requirements Regulation (CRR) with regard to regulatory technical standards specifying the calculation methods of gross jump-to-default amounts for certain exposures as well as specifying the determination of notional amounts of certain instruments.

    The delegated regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. As part of the improvement brought by the Fundamental Review of the Trading Book (FRTB), a new own funds requirement was introduced under the standardized approach to capture the default risk of exposures to debt and equity instruments. The delegated regulation sets out provisions with respect to the following:

    • Determination of the components P&Llong, P&Lshort, Adjustementlong, and Adjustementshort for the calculation of gross jump-to-default amounts for exposures to debt and equity instruments
    • Estimation of the gross jump-to-default amounts for the exposures referred to in Article 325w(7) of CRR
    • Determination of notional amounts of instruments other than the instruments referred to in Article 325w(4) of CRR

     

    Related Links

     

     

     

    Keywords: Europe, EU, Banking, CRR, Basel, Jump to Default, Regulatory Capital, Regulatory Technical Standards, FRTB, Market Risk, ESAP, Opinion, ECB, EC

    Featured Experts
    Related Articles
    News

    EBA Publishes Final Regulatory Standards on STS Securitizations

    The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.

    September 20, 2022 WebPage Regulatory News
    News

    ECB Further Reviews Costs and Benefits Associated with IReF

    The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.

    September 15, 2022 WebPage Regulatory News
    News

    BCBS to Finalize Crypto Rules by End-2022; US to Propose Basel 3 Rules

    The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.

    September 15, 2022 WebPage Regulatory News
    News

    IOSCO Welcomes Work on Sustainability-Related Corporate Reporting

    The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)

    September 15, 2022 WebPage Regulatory News
    News

    EBA Publishes Funding Plans Report, Receives EMAS Certification

    The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).

    September 15, 2022 WebPage Regulatory News
    News

    MAS Launches SaaS Solution to Simplify Listed Entity ESG Disclosures

    The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.

    September 15, 2022 WebPage Regulatory News
    News

    BoE Allows One-Day Delay in Statistical Data Submissions by Banks

    The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.

    September 14, 2022 WebPage Regulatory News
    News

    ACPR Amends Reporting Module Timelines Under EBA Framework 3.2

    The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.

    September 14, 2022 WebPage Regulatory News
    News

    ECB Paper Discusses Disclosure of Climate Risks by Credit Agencies

    The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)

    September 13, 2022 WebPage Regulatory News
    News

    APRA to Modernize Prudential Architecture, Reduces Liquidity Facility

    The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.

    September 12, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8514