Reference rates group reports

The Working Group on Sterling Risk-Free Reference Rates (RFR) has published an interim report and work plan. It is focusing on:

  • finalising the process to be followed for the RFR decision, including final selection criteria, which it should complete in Q3;
  • assessing the merits of reformed SONIA against these criteria, which will start when BoE publishes details of reformed SONIA in late summer 2016;
  • assessing the merits of candidate-secured RFRs that have been recently launched, or are currently under development;
  • analysing the feasibility of transitioning the overnight index swaps market to a secured RFR, which it aims to complete by the end of the year; and
  • developing plans to encourage broad based adoption of the RFR in new contracts, which will last into 2017.

(Source: Reference rates group reports)


IMF reports on UK

IMF has reported on its review of the UK. It notes significant improvements in the regulatory framework, but also highlights risks to financial stability of interconnectedness. It also welcomed the steps towards orderly resolution but says more needs to be done. It noted also the need for a robust and intrusive approach to prudential regulation going forwards, and the importance of addressing the increasing tendency to derisk.  It also noted the uncertainty financial institutions and the markets would face if the UK were to leave the EU. (Source: IMF reports on UK)


RTS on currencies with liquid assets constraints published

RTS under the CRR on derogations concerning currencies with constraints on the availability of liquid assets have been published in the OJEU. (Source: RTS on currencies with liquid assets constraints published)


ECB launches second consultation on harmonising options and discretions

ECB has launched a second consultation on harmonising options and discretions available in Union law by publishing a draft addendum to its existing guide. It addresses eight options and discretions to add to the existing guide which deals with 115 options and discretions. ECB says the policies under consultation will not affect the Regulation already made and published in the OJEU, which will enter into force on 1 October (see FReD 1 April). Consultation closes on 21 June. (Source: ECB launches second consultation on harmonising options and discretions)


EIOPA publishes freedom of services report

EIOPA has published the outcomes of its peer review on freedom to provide services. The report showed significant work is needed on co-operation mechanisms, and on focusing on consumer protection. (Source: EIOPA publishes freedom of services report)


EIOPA reports on supervisory colleges

EIOPA has published its annual report on how colleges of supervisors are functioning, and on the accomplishments of its action plan. It noted 91 colleges agreed during 2015, and that 10 colleges had assessed and approved Solvency 2 internal model calculation applications. (Source: EIOPA reports on supervisory colleges)


EBA publishes capital requirements correspondence

EBA has published correspondence between Olivier Guersent, European Commission, DG FISMA and Andrea Enria, EBA Chairman. The first letter relates to the Commission’s intention to amend the draft ITS submitted by EBA with regard to benchmarking of internal approaches in accordance with the Capital Requirements Directive (CRD). The amendments are largely correcting oversights or providing clarification but do include the postponement of the date by which banks have to report their calculations to competent authorities and EBA to 30 June. The other letter concerns EBA’s response to the Commission’s calls for advice in relation to revisions of the own fund requirements for market risk, counterparty credit risk, exposures to central counterparties, large exposures and follow-up to EBA’s report on net stable funding requirement (NSFR). (Source: EBA publishes capital requirements correspondence – benchmarking ITS and calls for advice response)


EBA decides no quality detriment from unsolicited credit assessments

EBA has published its Decision which confirms that the unsolicited credit assessments of certain ECAIs, used for calculating institutions’ capital requirements, do not differ in quality from their solicited credit assessments. EBA has not identified any evidence of differences in the quality of solicited and unsolicited credit ratings for a given ECAI, or that an ECAI has used unsolicited credit assessments to put pressure on the rated entity to place an order for a credit assessment or other services. Going forward, the use of unsolicited ratings assigned by 22 ECAIs will be allowed in the context of the CRR. (Source: EBA decides no quality detriment from unsolicited credit assessments)


EBA agrees Commission view on internal approach benchmarking

EBA has published an opinion agreeing with the Commission’s proposed changes to the ITS on benchmarking of internal approaches. EBA will be able to run its 2016 exercise on the basis of the amended standards, which means the exercise will cover credit risk for high-default portfolios and market risk portfolios. (Source: EBA agrees Commission view on internal approach)