Kategorie: EBA Guidelines

Bleiben Sie auf dem Laufenden - der EBA Guidelines RSS-Feed

Regulatory im Advent – Teil II

Im ersten Teil unserer regulatorischen Reihe im Advent haben wir die Zeit der Besinnung bereits dazu genutzt, auf die aufsichtsrechtlichen Reaktionen im Zusammenhang mit der COVID-19 Pandemie zurückzublicken. Neben diesem sehr beherrschenden Thema sind aber auch weitere regulatorische Neuerungen im Jahresverlauf auf den Weg gebracht worden, die insbesondere mit der Umsetzung des EU-Bankenpakets in Verbindung stehen. Daher möchten wir heute nochmal einen Blick zurück auf die regulatorischen Themen werfen, die die Kreditinstitute in 2020 außerdem beschäftigt haben.

Regulatory im Advent – Teil I

Mit der Vorweihnachtszeit wird auch eine Zeit der Besinnung und des Reflektierens eingeläutet. Neigt sich das Jahr tatsächlich schon wieder dem Ende entgegen? Was haben wir in diesem Jahr alles erlebt? Konnten wir unsere guten Vorsätze in die Tat umsetzen? Auch wir, das Team Regulatory Management von PwC Deutschland, hat sich einen Moment Ruhe gegönnt und mal zurückgeblickt auf ein ereignisreiches und sicher nicht ganz einfaches Jahr. Mit unserer vierteiligen Adventsreihe möchten wir einige regulatorische Highlights des Jahres 2020 herausgreifen, aber vor allem auch nach vorne schauen.

EBA Stress Test 2021: stress in stressful times

With the publication of the final methodology of the EU-wide stress test 2021 and the associated templates including draft guidelines, the European Banking Authority (EBA) has defined the methodological basis for the stress test in 2021. It is now up to the participating banks to understand the methodology, analyze the data requirements and identify possible gaps before the operational implementation of the stress test in January 2021.

Neue Meldepflichten fĂĽr Wertpapierfirmen

Durch den Investment Firm Review der EU (Investment Firm Directive (IDF) und Investment Firm Regulation (IFR)) werden ab Juni 2021 die aufsichtlichen Vorgaben für Wertpapierfirmen grundlegend überarbeitet. Wertpapierfirmen sind aktuell als Wertpapierhandelsbanken oder Finanzdienstleister weitgehend denselben Regelungen unterworfen wie Kreditinstitute. Das neue IFR Regime soll dem Grundsatz der Proportionalität folgend dem geringeren Schutzbedürfnis der Wertpapierfirmen, die kein Kredit- oder Einlagengeschäft betreiben, Rechnung tragen. Nachfolgend wird ein Überblick über die neue Systematik der Größenklassen für Wertpapierfirmen gegeben und zentrale Inhalte des Referentenentwurfs des Wertpapierfirmengesetz (WpFG) sowie der EBA Entwürfe zum Meldewesen der Wertpapierfirmen vorgestellt.

EBA / ECB Stress Test 2021: postponed but not abandoned

After the bi-yearly EBA / ECB stress test was cancelled in the wake of the COVID-19 crisis at the beginning of 2020, it has now become finally clear that the exercise will be brought to an end in 2021. This has already been stated by the EBA on its homepage and was also included in the EBA’s 2021 work program. And also those banks that are part of the ECB’s rather than the EBA’s sample of participants have by now received the information that they are once again required to participate. Hence, it’s time to take again a closer look at the upcoming exercise and to get prepared for potential amendments due to the current economic and regulatory environment.

EBA outlines new regulations for determining indirect risks arising from derivatives and credit derivatives in the large exposure framework

On 23 July 2020 the EBA has published a consultation paper on the treatment of indirect exposures arising from derivatives and credit derivatives in the large exposure regime (Draft Regulatory Technical Standards on the determination of indirect exposures to underlying clients of derivatives and credit default derivatives under Article 390(9) CRR2 (EBA/CP/2020/14)). The publication marks the next important milestone in specifying the new provision entailed in Art. 390(5) CRR2 which will enter into force in July 2021. This new CRR2 provision already requires institutions to take into account those risks towards the issuer of an underlying reference asset that it has entered into only indirectly by closing a derivative (e.g. option, forward) or credit derivative (e.g. CDS) contract. The accompanying EBA standard is now intended to define a concrete methodology specifying the determination of such indirect exposures. Based on the present consultation paper it is to be expected that implementing the methodology proposed will entail various challenges both from a technical as well as an operational perspective.

EBA entwirft neue GroĂźkreditregelungen fĂĽr indirekte Risiken aus Derivaten und Kreditderivaten

Am 23. Juli 2020 hat die European Banking Authority (EBA) das Konsultationspapier zur Behandlung von indirekten Risikopositionen aus Derivaten und Kreditderivaten im Großkreditregime veröffentlicht (Draft Regulatory Technical Standards on the determination of indirect exposures to underlying clients of derivatives and credit default derivatives under Article 390(9) CRR2 (EBA/CP/2020/14)) und damit den nächsten wichtigen Meilenstein zur Konkretisierung der Neuregelung in Art. 390 Abs. 5 der CRR2 erreicht. Über die CRR2 wurde zunächst klargestellt, dass auch solche Risiken in der Großkreditmeldung und ‑überwachung zu berücksichtigen sind, die ein Institut nur indirekt über den Abschluss eines Derivategeschäfts (bspw. Option, Forward) oder eines Kreditderivats (bspw. CDS) gegenüber dem Schuldner eines Referenzaktivums eingegangen ist. Der dazugehörige EBA-Standard soll die konkrete Methodik zur Ermittlung der indirekten Risikopositionswerte vorgeben, wobei das nun vorliegende Konsultationspapier bereits erahnen lässt, dass die Umsetzung diverse fachliche und praktische Herausforderungen mit sich bringen wird.

Observations about the impact of a downturn period on the main components of the LGD Model

The concept of an economic downturn was designed to address potential adverse macroeconomic conditions within estimations of the Internal Ratings-Based (IRB) risk parameter models. The regulatory definition of a downturn was first introduced in the earliest Basel II regulation, however, there were no strict rules and no detailed guidance on how the downturn period should be identified, and how a downturn adjustment should be estimated. The whole regulatory and risk management community within the European Central Bank (ECB) regulated single market spent significant time developing and updating the downturn methodology of their respective financial institutions. In this blog article we will talk about the latest regulatory requirements on this topic and will discuss the impact of a downturn period on the main components of the LGD Model.

EBA guidelines on reporting and disclosure of exposures subject to measures applied in response to COVID-19

On June 2nd, the European Banking Authority (EBA) published a guideline with new reporting and disclosure templates to monitor the impact of COVID-19 on European banks. The revised templates are to be reported for the first time per June 30th, giving banks very limited time to implement the necessary changes.

Supervisory measures in reaction to the Corona crisis – Overview

Closed factories and shops, cancelled events, travel bans, wide-ranging curfews – the Corona crisis turns out to have dangerous and sudden effects on the global economy. The dramatic meltdown of leading stock markets in recent weeks seems to reflect the fears of a long-lasting recession. For some people, this brings back bad memories of the financial crisis back in 2008. Although “this time is different” [credits to Reinhart/Rogoff], the financial sector is facing severe second-order effects, including:

  • An unprecedented wave of distressed and defaulted clients leading to a sharp increase in loan loss provisions and thus serious P&L hits
  • Deterioration and high volatility of prices for bonds and equities that serve, e.g. as liquid assets or collateral

Besides, banks themselves need to cope with multiple operational challenges resulting from the extensive shutdown, e.g. working from home as a trader within a highly regulated environment or managing ongoing on-site inspections and important implementation projects “remotely”.

Therefore, besides several short-term measures to support companies, employees and self-employed people, the governments and respective competent authorities also agreed on various temporary reliefs for banks to ensure that they “can continue to fulfil their role to fund households and corporations amid the coronavirus-related economic shock to the global economy” [ECB].

PwC is committed to to be side by side with our clients in these difficult times, in any way possible to support institutions deal with the many challenges they are facing. Part of this commitment includes informing our clients proactively and help to analyze the potential impact of this crisis and related measures. Through this Regulatory Blog, we will continuously provide you with updates on regulatory and supervisory measures and share our views on how these could affect banks. (this time only in English since we have a steadily growing number of international readers – thank you for your understanding!). Information in German on the impact on the German Banking & Capital Market are available here: Banken und Kapitalmärkte – Auswirkungen durch COVID-19

Please do not wait to contact us whenever you need our support – be it in understanding and analyzing the impact of the crisis and the potential measures or in coping with the operational challenges in these extraordinary times. And most important: Please stay healthy and take good care of you and your loved ones!

/* */