CFTC announced members of the new Climate-Related Market Risk Subcommittee of the Market Risk Advisory Committee (MRAC). The subcommittee was established to provide a report to the MRAC that will identify and examine the climate-related financial and market risks. Among others, the Subcommittee will work on issues related to disclosures, reporting, and stress testing of climate risks.
Bob Litterman, the founding partner and Risk Committee Chairman of Kepos Capital, will chair this 35-member Climate Subcommittee. The Climate Subcommittee comprises experts from the financial markets, the banking and insurance sectors, the agricultural and energy markets, the data and intelligence service providers, the environmental and sustainability public-interest sector, and the academic disciplines singularly focused on climate change, adaptation, public policy, and finance. Topics and issues this Subcommittee may consider include, but are not limited to, the following:
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The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.
The European Council and the European Parliament (EP) reached a provisional political agreement on the Corporate Sustainability Reporting Directive (CSRD).
The Prudential Regulation Authority (PRA) launched a consultation (CP6/22) that sets out proposal for a new Supervisory Statement on expectations for management of model risk by banks.
The European Commission (EC) published the Delegated Regulation 2022/954, which amends regulatory technical standards on specification of the calculation of specific and general credit risk adjustments.
The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.
The European Insurance and Occupational Pensions Authority (EIOPA) published two consultation papers—one on the supervisory statement on exclusions related to systemic events and the other on the supervisory statement on the management of non-affirmative cyber exposures.
Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)
The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.
The Bank for International Settlements (BIS) published bulletins on lending in decentralized finance (DeFi) system, on blockchain scalability and fragmentation of crypto, and on extractable value and market manipulation in crypto and decentralized finance.
The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.