Featured Product

    EBA Proposes Standards to Determine Indirect Exposure from Derivatives

    July 23, 2020

    EBA launched a consultation on the regulatory technical standards that specify how institutions should determine exposures arising from derivative and credit derivative contracts not entered directly into with a client but whose underlying debt or equity instrument was issued by a client. These draft technical standards, which have been issued in line with the revised Capital Requirements Regulation or CRR2, are intended to ensure appropriate levels of consistency through different pieces of the regulatory framework for the calculation of exposures for large exposure purposes. The consultation runs until October 23, 2020.

    The draft technical standards propose a methodology for the calculation of exposures under Part four of the CRR for different categories of derivative contracts and credit derivative contracts with a single underlying debt or equity instrument— namely, options on debt and equity instruments, credit derivative contracts, and other derivatives having as underlying a debt or equity instrument. Only derivative and credit derivative contracts where the underlying of those instruments entails a default risk of the underlying reference names should be relevant for the calculation of the indirect exposures set out in these technical standards.

    The draft technical standards provide a separate methodology for calculation of exposures stemming from contracts with multiple underlying reference names. In each case, a general methodology as well as a fallback approach is provided. The draft technical standards build on the BCBS framework on large exposures with the intention to be consistent with market risk rules for the calculation of exposures from (credit) derivatives, complemented where needed by specificities or objectives stemming from the large exposures framework. These technical standards are part of the EBA roadmap on the risk-reduction measures package that was published in November 2019. The final regulatory technical standards will be submitted to EC for endorsement before being published in the Official Journal of the European Union.

     

    Related Links

    Keywords: Europe, EU, Banking, CRR2, Large Exposures, Indirect Exposures, Derivatives, Basel, Regulatory Technical Standards, Market Risk, Credit Risk, EBA

    Featured Experts
    Related Articles
    News

    APRA Proposes to Increase Transparency of Banking Data

    APRA announced that it is resuming consultation on the confidentiality of data submitted to APRA by the authorized deposit-taking institutions.

    September 29, 2020 WebPage Regulatory News
    News

    EC Deems UK Framework for CCPs Temporarily Equivalent to EMIR Rules

    EC adopted a decision determining, for a limited period of time, that the regulatory framework applicable to central counterparties, or CCPs, in the UK and Northern Ireland is equivalent to the requirements laid down in the European Market Infrastructure Regulation (EMIR or Regulation 648/2012).

    September 28, 2020 WebPage Regulatory News
    News

    ESMA to Recognize Three Central Counterparties from UK

    ESMA announced that it will recognize three central counterparties (CCPs) established in the UK as third-country CCPs, from January 01, 2021.

    September 28, 2020 WebPage Regulatory News
    News

    PRA Publishes Version 02.04 of PRA110 Liquidity Metric Monitor Tool

    PRA published Version 02.04 of the PRA110 liquidity metric monitoring tool (PRA110 LMM tool).

    September 28, 2020 WebPage Regulatory News
    News

    LEI ROC Confirmed as Governance Body for OTC Derivatives Identifiers

    FSB confirmed the Regulatory Oversight Committee (ROC) of the Global Legal Entity Identifier System (GLEIS) as the International Governance Body for the globally harmonized identifiers used to track over-the-counter (OTC) derivatives transactions, with effect from October 01, 2020.

    September 25, 2020 WebPage Regulatory News
    News

    FCA Consults on Regulation of International Firms in UK

    FCA is consulting on its approach to the authorization and supervision of international firms operating in UK.

    September 25, 2020 WebPage Regulatory News
    News

    EBA Launches Transparency Exercise for Banks in EU

    EBA launched the seventh annual transparency exercise for banks in EU.

    September 25, 2020 WebPage Regulatory News
    News

    EBA Publishes Single Rulebook Q&A Updates in September 2020

    The EBA Single Rulebook question and answer (Q&A) tool updates for this month include answers to 32 questions.

    September 25, 2020 WebPage Regulatory News
    News

    MAS Amends Notices on NSFR and Single Counterparty Credit Exposures

    MAS published amendments to the Notice 652 on net stable funding ratio (NSFR), along with the related reporting template.

    September 24, 2020 WebPage Regulatory News
    News

    EC Publishes Action Plan for Capital Markets Union in EU

    EC published the action plan to enhance the Capital Markets Union in EU over the coming years.

    September 24, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5854