Featured Product

    ESMA Group Issues Recommendations on RFR Switch in Interdealer Market

    July 26, 2021

    The European Securities and Markets Authority (ESMA) published recommendations from the Working Group on Euro Risk-Free Rates (RFR) on the switch to risk-free rates in the interdealer market. The recommendations concern two initiatives: the first initiative concerns recommendation for interdealer brokers to switch from EONIA to €STR at a common date (€STR First Initiative); the second concerns the support for the initiative coordinated between international risk-free rate Working Groups on a common start date to switch the quoting convention for cross-currency swaps involving non-Euro currencies (Cross-Currency Swaps Initiative).

    Below are the statements approved by the Working Group for each initiative:

    • €STR First Initiative. The Working Group recommends as market best practice, that interdealer brokers change Risk Free Rate swap trading conventions from EONIA to €STR from Monday October 18, in line with the central counterparty (CCP) transition from EONIA to €STR on that weekend. For the avoidance of doubt, this only relates to the trading of risk-free rate based swaps and does not apply to EURIBOR based swap trading. While the Working Group recognizes that from a risk management perspective, the spread between EONIA and €STR has already been fixed, it sees benefits for market participants to move their practices ahead of the year end cessation deadline and in line with the CCP transition date.
    • Cross-Currency Swaps Initiative. The Working Group fully supports the recommendation of a common start date of September 21 for a switch of quoting conventions in the interdealer market for USD, GBP, CHF, and JPY legs of cross-currency swaps and encourages Euro Area market participants to adopt this market practice subject to supportive market conditions at the time. For cross-currency swaps with a EUR-denominated leg, the Working Group will continue to monitor the development of market liquidity and the demand from end-users.

     

    Related Link: Recommendations

     

    Keywords: International, Europe, EU, Banking, Securities, Insurance, Benchmark Reforms, LIBOR Transition, Risk Free Rates, Derivatives, Swaps, Cross Currency Swaps, ESMA

    Related Articles
    News

    EBA Launches Stress Tests for Banks, Issues Other Updates

    The European Banking Authority (EBA) launched the 2023 European Union (EU)-wide stress test, published annual reports on minimum requirement for own funds and eligible liabilities (MREL) and high earners with data as of December 2021.

    January 31, 2023 WebPage Regulatory News
    News

    EBA Proposes Standards for IRRBB Reporting Under Basel Framework

    The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023.

    January 31, 2023 WebPage Regulatory News
    News

    FED Issues Further Details on Pilot Climate Scenario Analysis Exercise

    The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.

    January 17, 2023 WebPage Regulatory News
    News

    US Agencies Issue Several Regulatory and Reporting Updates

    The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.

    January 04, 2023 WebPage Regulatory News
    News

    ECB Issues Multiple Reports and Regulatory Updates for Banks

    The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.

    January 01, 2023 WebPage Regulatory News
    News

    HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements

    The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.

    December 30, 2022 WebPage Regulatory News
    News

    EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR

    The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.

    December 29, 2022 WebPage Regulatory News
    News

    CBIRC Revises Measures on Corporate Governance Supervision

    The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.

    December 29, 2022 WebPage Regulatory News
    News

    HKMA Publications Address Sustainability Issues in Financial Sector

    The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.

    December 23, 2022 WebPage Regulatory News
    News

    EBA Updates Address Basel and NPL Requirements for Banks

    The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.

    December 22, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8700