EC Sets Out Draft Regulation on Calculation of Jump-to-Default Amounts
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
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Previous Article
ECB Modifies List of Supervised EntitiesRelated Articles
BIS and Central Banks Experiment with GenAI to Assess Climate Risks
A recent report from the Bank for International Settlements (BIS) Innovation Hub details Project Gaia, a collaboration between the BIS Innovation Hub Eurosystem Center and certain central banks in Europe
Nearly 25% G-SIBs Commit to Adopting TNFD Nature-Related Disclosures
Nature-related risks are increasing in severity and frequency, affecting businesses, capital providers, financial systems, and economies.
Singapore to Mandate Climate Disclosures from FY2025
Singapore recently took a significant step toward turning climate ambition into action, with the introduction of mandatory climate-related disclosures for listed and large non-listed companies
SEC Finalizes Climate-Related Disclosures Rule
The U.S. Securities and Exchange Commission (SEC) has finalized the long-awaited rule that mandates climate-related disclosures for domestic and foreign publicly listed companies in the U.S.
EBA Proposes Standards Related to Standardized Credit Risk Approach
The European Banking Authority (EBA) has been taking significant steps toward implementing the Basel III framework and strengthening the regulatory framework for credit institutions in the EU
US Regulators Release Stress Test Scenarios for Banks
The U.S. regulators recently released baseline and severely adverse scenarios, along with other details, for stress testing the banks in 2024. The relevant U.S. banking regulators are the Federal Reserve Bank (FED), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC).
Asian Governments Aim for Interoperability in AI Governance Frameworks
The regulatory landscape for artificial intelligence (AI), including the generative kind, is evolving rapidly, with governments and regulators aiming to address the challenges and opportunities presented by this transformative technology.
EBA Proposes Operational Risk Standards Under Final Basel III Package
The European Union (EU) has been working on the final elements of Basel III standards, with endorsement of the Banking Package and the publication of the European Banking Authority (EBA) roadmap on Basel III implementation in December 2023.
EFRAG Proposes XBRL Taxonomy and Standard for Listed SMEs Under ESRS
The European Financial Reporting Advisory Group (EFRAG), which plays a crucial role in shaping corporate reporting standards in European Union (EU), is seeking comments, until May 21, 2024, on the Exposure Draft ESRS for listed SMEs.
ECB to Expand Climate Change Work in 2024-2025
Banking regulators worldwide are increasingly focusing on addressing, monitoring, and supervising the institutions' exposure to climate and environmental risks.
