BoE published the minutes of the July meeting of working group on sterling risk-free reference rates. At the meeting, ISDA provided an overview of two open consultations, the first consultation seeking views on the approach to fallback rates for certain interbank offered rates (IBORs) and the second consultation on the conditions to trigger fallback language. It was mentioned that, in the fourth quarter of 2019, ISDA plans to publish new definitions for fallback arrangements and publish a protocol to allow these fallbacks to be included in legacy LIBOR contracts.
ISDA updated members on the timeline for feedback from its two open consultations. A future consultation on the parameters for fallback language was planned for August; the consultation would cover an average spread between LIBOR and risk-free rates based on how many years and whether a mean or median approach to the spread adjustment should be used. The Chair for the working group updated members on the formation of a new Senior Advisory Group (SAG) to provide strategic support and senior engagement at firms to help achieve the working group’s deliverables and objectives. The Terms of Reference for the SAG have also been published. SAG would comprise a number of Senior representatives from the largest market participants across relevant segments, providing an additional high-level perspective on potential barriers to transition.
Keywords: Europe, UK, Banking, Securities, Risk-Free Rates, LIBOR, Interest Rate Benchmarks, Benchmarks Fallbacks, BoE
EU published Directive 2021/338, which amends the Markets in Financial Instruments Directive (MiFID) II and the Capital Requirements Directives (CRD 4 and 5) to facilitate recovery from the COVID-19 crisis.
The Standing Committee of the European Free Trade Association (EFTA) recommended that a systemic risk buffer level of 4.5% for domestic exposures can be considered appropriate for addressing the identified systemic risks to the stability of the financial system in Norway.
In a recent statement, PRA clarified its approach to the application of certain EU regulatory technical standards and EBA guidelines on standardized and internal ratings-based approaches to credit risk, following the end of the Brexit transition.
In a recently published letter addressed to the G20 finance ministers and central bank governors, the FSB Chair Randal K. Quarles has set out the key FSB priorities for 2021.
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876).
ESAs published a joint supervisory statement on the effective and consistent application and on national supervision of the regulation on sustainability-related disclosures in the financial services sector (SFDR).
EC published a public consultation on the review of crisis management and deposit insurance frameworks in EU.
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE issued a letter to the CEOs of eight major UK banks that are in scope of the first Resolvability Assessment Framework (RAF) reporting and disclosure cycle.