ECB will start publishing compounded euro short-term rate (€STR) average rates and a compounded index based on the euro short-term rate (€STR) on April 15, 2021. The publication will take place on each TARGET2 business day and will include compounded €STR average rates for tenors of one week, one month, three months, six months, and 12 months; the publication will also include a compounded €STR index, enabling the derivation of compounded rates for any non-standard tenor.
ECB also published the rules for calculation and publication of the compounded €STR average rates and index. The rules take into account the outcome of the public consultation on the design of the rates and index. The compounded €STR average rates and index will be published via the Market Information Dissemination (MID) platform and through the Statistical Data Warehouse (SDW) of ECB. ECB also announced that guideline (ECB/2019/19) on the governance of the €STR and on the administration and oversight of the €STR determination process has been amended to cover the calculation and publication of the compounded €STR average rates and index. The €STR is based entirely on daily confidential statistical information related to money market transactions collected in compliance with the Money Market Statistical Reporting (MMSR) Regulation. Four national central banks assist ECB in the collection of the input statistical information: Bundesbank, BDE, BDF, and BDI.
Keywords: Europe, EU, Banking, Securities, €STR, Interest Rate Benchmarks, Benchmark Reforms, Derivatives, ECB
In a recent Market Notice, the Bank of England (BoE) confirmed that green gilts will have equivalent eligibility to existing gilts in its market operations.
The Financial Conduct Authority (FCA) published the policy statement PS21/9 on implementation of the Investment Firms Prudential Regime.
The European Banking Authority (EBA) proposed regulatory technical standards that set out criteria for identifying shadow banking entities for the purpose of reporting large exposures.
The Board of the International Organization of Securities Commissions (IOSCO) proposed a set of recommendations on the environmental, social, and governance (ESG) ratings and data providers.
The European Commission (EC) announced plans to defer the application of 13 regulatory technical standards under the Sustainable Finance Disclosure Regulation (2019/2088) by six months, from January 01, 2022 to July 01, 2022.
The European Insurance and Occupational Pensions Authority (EIOPA) proposed to amend the supervisory statement on supervision of run-off undertakings that are subject to Solvency II regulation.
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.