Initiative on an Integrated EU Covered Bond framework. Intesa Sanpaolo comments
|
|
- Angelica Wilson
- 5 years ago
- Views:
Transcription
1 Initiative on an Integrated EU Covered Bond framework COM(2018)94 and COM(2018)93 Intesa Sanpaolo comments Intesa Sanpaolo supports the set-up of a single and holistic European framework for the Covered Bonds as a building step of the Capital Markets Union. Covered Bonds have gained in the last ten years a leading role throughout the EU as a secured funding channel, showing a remarkable resilience even during the most severe phase of the financial crisis. The following table provides a fresh glance on the use of Covered Bonds by Intesa Sanpaolo to implement its funding strategies and maintain its regulatory liquidity indicators. According to Intesa Sanpaolo, a limited number of provisions of the current regulatory draft could trigger unwarranted discriminatory effects in certain jurisdictions and on SPV-based Covered Bond structures. In particular, our concerns are on: Derivatives: hedging interest rate or currency risks should make the covered bond structure sounder. However, we fear that including the derivatives inside the cover pool may work for certain jurisdictions but may not work at all for others. Therefore, the provisions on derivatives should be improved in order to be applicable to all jurisdictions and to avoid systemic risks (by concentrating derivatives on highly rated institutions only). Liquidity Buffers: the Commission s proposal may ultimately increase concentration of liquidity on highly rated institutions, thus discriminating sound banks established in more peripheral jurisdictions. The proposal should be calibrated in order to take into account actual risk factors and the current state of play of the market. Eligible assets: Intesa Sanpaolo believes that the Directive should aim at protecting the covered bond franchise by allowing high quality and traditional assets as collateral. This objective could also be achieved by explicitly introducing a category of new dual recourse securities backed by non-core high quality assets (SME, infrastructure, the so called European Secured Notes), thus also encouraging the financing of the real economy along with the CMU guidelines. 1
2 Main concerns of the proposed framework 1. Derivatives (Directive, Art. 11 and Regulation Art. 129) high risk of (unwarranted) fall-outs on SPV-based Structures and discriminatory consequences on non-core EU countries Directive: art 11 - Derivative contracts in the cover pool Regulation: art 129 (c) Art. 11 Directive Member States shall lay down rules for cover pool derivative contracts including at least: (a) the eligibility criteria for the hedging counterparties; Art 129 (c) Regulation "(c) exposures to credit institutions that qualify for the credit quality step 1 or credit quality step 2 as set out in this Chapter Implied Issue in the current regulatory draft: the purpose of the aforementioned provisions, as derivatives contribute to the coverage requirement, is to make the covered bond structure sounder requiring that asset swaps are segregated inside the cover pool and specifying i) counterparty eligibility criteria; ii) limits on the amount of derivative contracts in the pool; iii) necessary documentation on derivative contracts. In addition, the link to the CRR implies that to gain a preferential treatment the covered bonds must be collateralised by exposures to credit institutions that qualify for the credit quality step 1 or credit quality step 2. Intesa Sanpaolo view: In our view Art. 11 makes the whole proposal ambiguous and potentially less sound. In fact, derivatives can currently be included in the cover pool in certain jurisdictions only. In other jurisdictions derivatives are only a hedging instrument on the cover pool, but are not part of the pool itself. Therefore, derivative contracts may but should not be included in the covered pool. Considering derivatives inside the cover pool may, in addition, trigger higher volatility (the mark-to market component of the derivatives may increase or decrease the overall value of the cover pool). 2
3 Please consider that under Italian CB framework, the payments under the swap are segregated in favour of the CB holders. Therefore, in case of insolvency of the issuing bank or in case of insolvency of the swap counterparty such flows cannot be claimed by any third party (which is external to the CB programme and is not part of the relevant documentation eg. Intercreditor Agreement). Therefore, according to the Italian Framework, even if derivatives were included in the cover pool they would not be safer nor make the CB structure sounder compared to the current situation. The provisions contained in the amendment to the CRR may also lead to unwanted consequences: it would in fact restrict the derivative contracts to a very limited number of eligible counterparties, paving the way for an unwarranted and unnecessary systemic risk and increasing the all-in cost of the programmes. Operational consequences: it would be extremely difficult to find an eligible CQS1/CQS2 swap counterparty for large CB programmes (such as the ISP CB Programmes with assets to be hedged: in excess of Eur 50 bn). This would imply to find a number of different and available counterparties) with i) operational and credit issues, ii) heavy impacts on contracts agreement and iii) a non-negligible effects on funding costs; given the extremely limited number of eligible counterparties a new relevant systemic risk would emerge at EU level where hundreds/thousands of billions of derivatives would be concentrated in the hands of few financial counterparties; in ordinary banking practices we should set-up appropriate guaranteed lines with all the third counterparties, denting the room of manoeuvre of the bank as a whole in respect of the selected counterparties (derivatives lines would reduce the ability of the bank to open with these counterparties other credit lines related to different deals); third eligible counterparties would acquire a deep view on a significant part of the banking book in terms of prepayment rate/delinquencies/defaults/retention strategies; an increasing number of structures could be deprived of hedging structures to limit the above described effects of externalising the role. Would be the unhedged structure safer for the investors compared to the hedged ones? A very efficient alternative solution would be to provide that derivative counterparties can qualify also for the credit quality "step 3". This would allow all investment grade counterparties to be eligible, taking into account that the lower the rating of the swap counterparty, the larger the collateral amount required under Rating Agencies criteria (with the same methodology of the Rating Agencies setting the minimum acceptable rating threshold to be eligible). Intesa Sanpaolo proposal of a wording amendment: Art 11: 3
4 <<Article 11 Derivative contracts in the cover pool Derivative contracts entered into in the context of a covered bond programme shall ensure investor protection and have to meet all the requirements below. Member States by allowing may allow derivative contracts to be included in the cover pool only where at least the following requirements are met: The derivative contracts are entered into included in the cover pool exclusively for risk hedging purposes; a. ( ), b. Only if included in the cover pool, the derivative contracts are segregated in accordance with art. 12 c. The derivative contracts cannot be terminated upon the insolvency or resolution of the credit institution issuing covered bonds; d. ( ) >> art 129(c) Regulation: (c) exposures to credit institutions that qualify for the credit quality step 1, or credit quality step 2 or credit quality step 3 as set out in this Chapter. 2. Liquidity buffer (Directive, Art. 16) high risk of (unwarranted) discriminatory consequences for non-core EU countries Directive Art 16: requirement for a cover pool liquidity buffer (3) Member States shall ensure that the cover pool liquidity buffer referred to in paragraph 1 consists of the following types of assets: (a) assets qualifying as level 1, level 2A and level 2B assets pursuant to Articles 10, 11 and 12 of Delegated Regulation (EU) 2015/61, valuated in accordance with Article 9 of that Delegated Regulation and segregated in accordance with Article 13 of this Directive; (b) exposures to credit institutions that qualify for the credit quality step 1, in accordance with Article 129(1)(c) of Regulation (EU) No 575/2013. Implied Issue in the current regulatory draft: Liquidity buffers cover the net liquidity outflows of the covered bond programme over the days range. Liquid assets are Level 1, 2A assets and Level 2B as well as exposures to credit institutions qualifying step 1. 4
5 Intesa Sanpaolo view: From a mere technical perspective: point a): as all European banks are subject to liquidity requirements according to the paragraph 4 of art. 16, the already existing Level 1, Level 2A and Level 2B assets should be considered for the current provision; point b): It is not clear why institutions qualifying for step 1 only should be considered eligible. This seems inconsistent with the rationale underlying the previous a) provision. Operational consequences: given the limited number of eligible counterparties a new relevant systemic risk would emerge; high-cost related to the externalisation of the role that would impact the non-eligible banks only (mainly non-core countries banks). In a negative-yields environment the externalisation of the account bank where the liquidity buffer is expected to be held will result expensive for the originator/issuer, thus introducing regulatory benefits for high-rated financial institutions. Intesa Sanpaolo proposal of a wording amendment: Art. 16 Directive (3) Member States shall ensure that the cover pool liquidity buffer referred to in paragraph 1 consists of the following types of assets: (a) (.) (b) exposures in form of cash deposit to credit institutions of any credit quality steps to the extent that, in the relevant jurisdiction, they are segregated. 3. Eligible assets (Directive, Art. 6) Member States shall ensure investor protection by requiring that covered bonds are at all times collateralised by high quality assets referred to in points (a) to (g) of Article 129(1) of Regulation (EU) No 575/2013 or by other high quality assets that meet at least the following requirements: (a) either the market value or mortgage lending value of the assets can be determined; (b) a mortgage, charge, lien or other guarantee on the asset is enforceable; (c) all legal requirements for establishing the mortgage, charge, lien or guarantee on the asset have been fulfilled; (d) the mortgage, charge, lien or guarantee securing the asset enable the credit institution issuing covered bonds to realise the value of the asset without undue delay. 5
6 Implied Issue in the current regulatory draft: Covered bonds could be collateralised by high quality assets different from those referred to in Art 129(1) CRR points (a) to (g). It s not clear if a new regulation for European Secured Notes (ESNs) will be proposed. Intesa Sanpaolo view: due to the broad scope of Article 6 and the room for interpretation in the wording of recital 15, as well as the legislative provision indicating the high qualitative features, we would propose to reconsider the introduction of the European Secured Notes concept. The introduction of a separate instrument, the ESN, would be consistent with the current provisions of Art 6 and would prevent a watering down of the qualitative scope of the covered bond label. At the same time, it would also be fully aligned with the proposal of the Own Initiative Report of the European Parliament. In such case, it is necessary to recognize in the Regulation a preferential prudential treatment for ESNs, different from the treatment recognised to covered bonds. Operational consequences: the traditional covered bond franchise would be appropriately differentiated and protected by law, as SME/infrastructure/non-core assets would fall in the scope of the ESN instrument; the revamp of the ESN initiative would be strategic for the EU financial system; enlarging the eligible assets for a double recourse instruments (with clear distinction between CB and ESN) could reduce the cost of funding of commercial banks, paving the way for further cuts in spreads applied to commercial borrowers; optimization of the commercial assets otherwise useful for ABS SME. Intesa Sanpaolo proposal of a wording for the introduction of a new Art. 6 - bis: Art. 6 - bis 1. Member States may allow credit institutions issuing dual recourse debt instruments covered by different assets than those required for covered bonds, labelled European Secured Notes (ESNs). 2. EBA lays down the minimum requirements that ESNs covered assets have to meet. 3. The Regulation (EU) 575/2013 allows for a preferential treatment of ESNs. 6
7 4. Additional topics Composition of the pool (Directive, Art 10) Member States shall ensure investor protection by providing for a sufficient level of homogeneity of the assets in the cover pool so that they shall be of a similar nature in terms of structural features, lifetime of assets or risk profile Implied Issue in the current regulatory draft: given the nature of Programme, the cover pool of each structure is enriched periodically through the transfer of new eligible assets by the Originator. Over the time the financial features of the mortgage loans may therefore change: we expect that such evolution of the cover pool over time will not be considered by the new regulation as non homogenous. Intesa Sanpaolo view: the current provision states that homogeneity should be respected in terms of structural features lifetime of assets risk profile according to our experience all the above elements should be carefully analysed in order to avoid introducing eligibility criteria hard to comply with. For instance, in Italy, the existing law requires that the eligibility criteria that define the transferred pool should be reckonable by the affected borrowers. Some criteria related to the risk profile could not be verified by the borrowers (that do not know their valuation resulting from the internal rating model). In addition, we have some substantial doubts about the meaning of risk profile : it is clear that mortgage loans with indexed LTV in the 60-70% range are riskier than those in the 20-30% bucket but both of these pools are perfectly consistent to the existing (and future) regulatory requirements. Operational consequences: net reduction in transferrable pools; increasing opacity in eligibility criteria; less efficient diversification of the cover pool; increase in funding costs. Intesa Sanpaolo proposal of a wording amendment: Art. 10 Member States shall ensure investor protection by providing for a sufficient level of homogeneity of the assets in the cover pool so that they shall be of a similar nature in terms of structural features, lifetime of assets or risk profile. 7
8 Level of mandatory overcollateralization (Regulation) We understand the cautious approach of providing a level of 5% with the exception of certain assets which would require a lower amount (2%). Given the set-up of the current provision we understand that the rationale of this approach is a sort of distrust in respect of the assets reported in the point f) and g) of the current Art. 129 which are deemed to be riskier. In general terms, we believe that markets participants (originators, investors and rating agencies) should be able to define in an independent way the inner risk profile of each CB Programme, as long as such risks are duly communicated to the market in a transparent way. Note that the structural feature of the assets are not, per se, the key driver in defining the risk profile of the structure and -consequently- the equilibrium OC. In fact, the two main drivers are: the temporal mismatch between the time when the assets are repaid by the borrowers (becoming cash) and liabilities maturity. Covered bond Programmes show generally a relevant mismatch between the expected life of the assets vs the weighted average life of the covered bonds: independently from the nature of the underlying assets the bigger is this mismatch, the higher is the equilibrium OC; the uplift of the covered bond rating in respect of the Issuer rating. The higher the targeted rating level on the covered bonds versus the Issuer s senior unsecured notes, the higher the resulting equilibrium OC. Finally, please note that the process implemented by Rating Agencies in defining the equilibrium OC takes into consideration the nature of the assets with a bottom-up analysis. The first stage of their process (static analysis) grounds on a loan-by-loan check of the cover pool while the following ones (dynamic analysis) factorise idiosyncratic stresses on the expected cash flows. Hence, riskier assets would in any case result in higher equilibrium OC. The consequence is that required OC levels do not simply derive from the specific asset class. Therefore, we would recommend that such lower percentage (2%) be applicable for all eligible asset classes permitting to the market participants their own valuations based on structural features of each Programme. Here below you ll find the current status of Intesa Sanpaolo s (1) actual OC levels: as you may see factors influencing OC are the rating levels and the WAL mismatch between assets and liabilities. (1) : Intesa Sanpaolo rating (as of ): Baa1(Moody s) and BBB High (DBRS) 8
9 Contacts Intesa Sanpaolo International and Regulatory Affairs Department Square de Meeûs, Brussels - Belgium Tel +32 (0) Fax +32 (0)
EBA recommendations on the Call for Advice on European Secured Notes. 26 June 2018
EBA recommendations on the Call for Advice on European Secured Notes 26 June 2018 Content 1.Mandate 2.Business case 3.Impact on asset encumbrance 4.SME ESNs 5.Infrastructure ESNs EBA recommendations on
More informationEuropean Covered Bond Council (ECBC)
European Covered Bond Council (ECBC) Collation of Feedback on the Covered Bond Legislative Package Brussels, 16 May 2018 The European Mortgage Federation - European Covered Bond Council (EMF-ECBC) welcomes
More informationThis paper forms an initial analysis of the legislation and offers some targeted suggestions for improvements.
CBIC position on European legislation on covered bonds April 2018 Introduction On 12 March 2018 the European Commission launched their long-awaited legislative proposal on covered bonds, in the form of
More informationEUROPEAN CENTRAL BANK
C 382/2 EN Official Journal of the European Union 23.10.2018 III (Preparatory acts) EUROPEAN CENTRAL BANK OPINION OF THE EUROPEAN CENTRAL BANK of 22 August 2018 on a proposal for a directive of the European
More informationComments. Register of Interest Representatives Identification number in the register:
Comments on proposed Directive on the issue of covered bonds and covered bond public supervision & proposed Regulation on amending Regulation (EU) 575/2013 as regards exposures in the form of covered bonds
More informationPROVISIONAL AGREEMENT RESULTING FROM INTERINSTITUTIONAL NEGOTIATIONS
European Parliament 2014-2019 Committee on Economic and Monetary Affairs 20.3.2019 PROVISIONAL AGREEMT RESULTING FROM INTERINSTITUTIONAL NEGOTIATIONS Subject: Proposal for a Directive of the European Parliament
More informationEUROPEAN COMMISSION Directorate-General for Financial Stability, Financial Services and Capital Markets Union
Ref. Ares(2017)4811637-03/10/2017 EUROPEAN COMMISSION Directorate-General for Financial Stability, Financial Services and Capital Markets Union Director General Brussels, 0 3 OCT.?П17 fisma.c.l/ss/er (2017)
More informationECON feedback on the covered bond Directive and Regulation
Economic & Financial Analysis Financials 30 August 2018 Covered Bonds ECON feedback on the covered bond Directive and Regulation Piling the pressure on CPT covered bonds The amendments proposed by the
More informationCOVERED BOND RATING METHODOLOGY
Capital Intelligence Ratings 1 COVERED BOND RATING METHODOLOGY Issue Date: 27 CONTENTS 1. About this Methodology 1 2. Summary of Our Analytical Approach 3. Covered Bond Ratings: Analytical Pillars 4. Other
More informationMay Guidelines on LCR Calculation for the Interim Observation Period
May 2014 Guidelines on LCR Calculation for the Interim Observation Period Contents 1 Overview... 3 2 Context... 4 3 Liquidity Coverage Ratio... 7 4 Definition of High Quality Liquid Assets ( HQLA )...
More informationEC Covered Bonds Conference
EC Covered Bonds Conference - elements for an integrated covered bond framework Kim Laustsen, Chief Analyst, Nykredit 1 February 2016 Avoid disrupting well-functioning systems - room for diversity in the
More informationConsultation Paper. Draft Regulatory Technical Standards
JC 2018 15 04 May 2018 Consultation Paper Draft Regulatory Technical Standards Amending Delegated Regulation (EU) 2016/2251 on risk-mitigation techniques for OTC-derivative contracts not cleared by a CCP
More informationCOMMISSION DELEGATED REGULATION (EU) No /.. of
EUROPEAN COMMISSION Brussels, 13.3.2014 C(2014) 1557 final COMMISSION DELEGATED REGULATION (EU) No /.. of 13.3.2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council
More information14658/18 ADD 2 RGP/vc 1 ECOMP.1.B
Council of the European Union Brussels, 23 November 2018 (OR. en) Interinstitutional File: 2018/0043 (COD) 14658/18 ADD 2 EF 306 ECOFIN 1127 CODEC 2099 'I' ITEM NOTE From: To: No. Cion doc.: Subject: General
More informationEBA recommendations on harmonisation of the covered bond frameworks in the EU Massimiliano Rimarchi, Policy Expert, European Banking Authority
EBA recommendations on harmonisation of the covered bond frameworks in the EU Massimiliano Rimarchi, Policy Expert, European Banking Authority Spanish Funding Conference, Madrid, 2 February 2017 Mandate
More informationFinal Draft Regulatory Technical Standards
JC 2018 77 12 December 2018 Final Draft Regulatory Technical Standards Amending Delegated Regulation (EU) 2016/2251 on risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty
More informationProposal for a DIRECTIVE OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
EUROPEAN COMMISSION Brussels, 12.3.2018 COM(2018) 94 final 2018/0043 (COD) Proposal for a DIRECTIVE OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on the issue of covered bonds and covered bond public supervision
More informationECBC COVERED BOND MARKET May 2014
ECBC COVERED BOND MARKET May 2014 Changing Regulatory Environment ESRB s Recommendation on the Funding of Credit Institutions Crisis Management/ EU framework for bank recovery and resolution Financial
More informationResponses to the EU Commissions exploratory consultation on the finalisation of Basel III
Responses to the EU Commissions exploratory consultation on the finalisation of Basel III General questions: a) What are your views on the impact of the revisions on financial stability? A Danish Government
More informationCovered Bonds: Design, Use and Prerequisites for Emerging Markets Dr. Michael Lea For Housing Finance Conference Central Bank of Peru May 11, 2009
Covered Bonds: Design, Use and Prerequisites for Emerging Markets Dr. Michael Lea For Housing Finance Conference Central Bank of Peru May 11, 2009 Presentation Outline What Are Covered Bonds? Where Are
More informationSecuritisation and Covered Bonds: the work of
Securitisation and Covered Bonds: the work of the European Banking Authority to date. Massimiliano RIMARCHI April 4, 2014 EIFR Paris A busy working group at the EBA SECURITISATION RTS specifying the securitisation
More informationRECOMMENDATIONS ON THE HARMONISATION OF THE COVERED BOND FRAMEWORKS IN THE EU. Christian Moor, European Banking Authority
RECOMMENDATIONS ON THE HARMONISATION OF THE COVERED BOND FRAMEWORKS IN THE EU Christian Moor, European Banking Authority Mandate and previous work Mandate ESRB Recommendation on funding of credit institutions
More information3.20 THE NETHERLANDS By Joost Beaumont, ABN AMRO Bank, Ruben van Leeuwen, Rabobank and Maureen Schuller, ING Bank
3.20 THE NETHERLANDS By Joost Beaumont, ABN AMRO Bank, Ruben van Leeuwen, Rabobank and Maureen Schuller, ING Bank I. FRAMEWORK The Dutch regulatory framework for the issuance of covered bonds initially
More informationEBA S ADVICE ON SYNTHETIC SECURITISATION
EBA S ADVICE ON SYNTHETIC SECURITISATION Lars Overby Head of Credit, Market and Operational Risk Unit Regulation - EBA Content of the EBA Report on Synthetic Securitisation Published in December 2015,
More informationConsultation Paper. Draft Regulatory Technical Standards
EBA/CP/2017/21 15 December 2017 Consultation Paper Draft Regulatory Technical Standards On the homogeneity of the underlying exposures in securitisation under Art. 20(14) and 24(21) of [Regulation (EU)
More informationEUROPEAN SECURED NOTE October 2016
EUROPEAN SECURED NOTE October 2016 Potential Structures (1/2) Direct On-balance Issuance Used for CBs in Germany, Spain, Denmark, Cyprus, Belgium (on-balance) and UK, NL, CAN, AU (SPV) Bank Pool of assets
More informationCOMMISSION DELEGATED REGULATION (EU) /.. of XXX
COMMISSION DELEGATED REGULATION (EU) /.. of XXX Supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories
More informationConsultation Paper. Amendments to the EMIR Clearing Obligation under the Securitisation Regulation. 04 May 2018 JC
Consultation Paper Amendments to the EMIR Clearing Obligation under the Securitisation Regulation 04 May 2018 JC 2018 14 Date: 04 May 2018 JC 2018 14 Responding to this paper The European Supervisory Authorities
More informationEuropean Association of Co-operative Banks Groupement Européen des Banques Coopératives Europäische Vereinigung der Genossenschaftsbanken
Brussels, 21 March 2013 EACB draft position paper on EBA discussion paper on the process to define highly liquid assets in the LCR The voice of 3.800 local and retail banks, 55 million members, 216 million
More informationComments. on the homogeneity of underlying exposures in securitisation (EBA/CP/2017/21)
Comments on the homogeneity of underlying exposures in securitisation (EBA/CP/2017/21) Register of Interest Representatives Identification number in the register: 52646912360-95 Contact: Felix Krohne Adviser
More informationECBC CB Label Transparency Template for Italian covered bond (OBG) issuers
ECBC CB Label Transparency Template for Italian covered bond (OBG) issuers General issuer information Table A. General Issuer Detail (million Euro) (million Euro) (million Euro) Key information regarding
More information14658/18 ADD 1 RGP/vc 1 ECOMP.1.B
Council of the European Union Brussels, 23 November 2018 (OR. en) Interinstitutional File: 2018/0042 (COD) 14658/18 ADD 1 EF 306 ECOFIN 1127 CODEC 2099 'I' ITEM NOTE From: To: No. Cion doc.: Subject: General
More informationAppendix B: HQLA Guide Consultation Paper No Basel III: Liquidity Management
Appendix B: HQLA Guide Consultation Paper No.3 2017 Basel III: Liquidity Management [Draft] Guide on the calculation and reporting of HQLA Issued: 26 April 2017 Contents Contents Overview... 3 Consultation...
More informationFinal Report. Amendments to the EMIR Clearing Obligation under the Securitisation Regulation. 12 December 2018 JC
Final Report Amendments to the EMIR Clearing Obligation under the Securitisation Regulation 12 December 2018 JC 2018 76 Date: 12 December 2018 JC 2018 76 Table of Contents Introduction 5 1. The clearing
More informationTechnical advice on delegated acts on the deferral of extraordinary ex-post contributions to financial arrangements
EBA/Op/2015/06 6 March 2015 Technical advice on delegated acts on the deferral of extraordinary ex-post contributions to financial arrangements 1. Legal references - Article 104(3) of Directive 2014/59/EU
More informationCOMMISSION DELEGATED REGULATION (EU) No /.. of XXX
EUROPEAN COMMISSION Brussels, XXX [ ](2016) XXX draft COMMISSION DELEGATED REGULATION (EU) No /.. of XXX supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives,
More informationPROPOSAL FOR A REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL. on prudential requirements for credit institutions and investment firms
EUROPEAN COMMISSION Brussels, 20.7.2011 COM(2011) 452 final PROPOSAL FOR A REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on prudential requirements for credit institutions and investment firms
More informationLIQUIDITY COVERAGE REQUIREMENT UNDER THE DELEGATED REGULATION OF THE EUROPEAN COMMISSION AND BASEL III RULES 1
Karolina Patora * LIQUIDITY COVERAGE REQUIREMENT UNDER THE DELEGATED REGULATION OF THE EUROPEAN COMMISSION AND BASEL III RULES 1 INTRODUCTION A general liquidity coverage requirement has already been proposed
More informationOn behalf of the Public Affairs Executive (PAE) of the EUROPEAN PRIVATE EQUITY AND VENTURE CAPITAL INDUSTRY
On behalf of the Public Affairs Executive (PAE) of the EUROPEAN PRIVATE EQUITY AND VENTURE CAPITAL INDUSTRY May 2014 Position Paper on the European Commission Proposal for a Regulation on structural measures
More informationFeedback statement. Responses to the public consultation on a draft Guideline and Recommendation of the European Central Bank
Feedback statement Responses to the public consultation on a draft Guideline and Recommendation of the European Central Bank On the exercise of options and discretions available in Union law for less significant
More informationTHE NAME IS BOND COVERED BOND
THE NAME IS BOND COVERED BOND Covered Bonds An Alternative Source of Financing Mortgage Lending December 4, 2012 Mira Tamboli Presentation Outline Introduction Covered Bond Basics Product Overview Issuer
More informationBasel Committee on Banking Supervision. Liquidity coverage ratio disclosure standards
Basel Committee on Banking Supervision Liquidity coverage ratio disclosure standards January 2014 This publication is available on the BIS website (www.bis.org). Bank for International Settlements 2014.
More informationEBA final draft implementing technical standards
EBA/ITS/2013/04/rev1 24/07/2014 EBA final draft implementing technical standards On asset encumbrance reporting under Article 100 of Capital Requirements Regulation (CRR) EBA final draft implementing technical
More informationDraft guide to assessments of licence applications Part 2. Assessment of capital and programme of operations
Draft guide to assessments of licence applications Part 2 Assessment of capital and programme of operations September 2018 Contents 1 Foreword 2 2 Legal Framework 3 3 Assessment of licence applications
More informationCRR IV - Article 194 CRR IV Principles governing the eligibility of credit risk mitigation techniques legal opinion
CRR IV - Article 194 https://www.eba.europa.eu/regulation-and-policy/single-rulebook/interactive-single-rulebook/- /interactive-single-rulebook/article-id/1616 Must lending institutions always obtain a
More informationE.ON General Statement to Margin requirements for non-centrally-cleared derivatives
E.ON AG Avenue de Cortenbergh, 60 B-1000 Bruxelles www.eon.com Contact: Political Affairs and Corporate Communications E.ON General Statement to Margin requirements for non-centrally-cleared derivatives
More information12. LIQUIDITY RISK LIQUIDITY RISK MANAGEMENT AND ASSESSMENT MANAGEMENT MODEL
12. LIQUIDITY RISK 12.1. LIQUIDITY RISK MANAGEMENT AND ASSESSMENT LIQUIDITY MANAGEMENT The BCP Group liquidity management is globally accompanied and the supervision is coordinated at a consolidated level
More informationANNEX I. REPORTING ON FUNDING PLANS Table of Contents
ANNEX I REPORTING ON FUNDING PLANS Table of Contents PART I: GENERAL INSTRUCTIONS... 3 1. Structure and conventions... 3 1.1. Structure... 3 1.2. Numbering convention... 3 1.3. Sign convention... 3 PART
More informationNew covered bond framework based on minimum harmonization principle
11 New covered bond framework based on minimum harmonization principle Background On December 20 2016 the European Banking Authority (EBA) published a report on covered bonds, following up on its July
More informationAssociation For Financial Markets in Europe
Association For Financial Markets in Europe Title STS Framework of the meeting a securitisation plan Day for Month Europe? 2011 Optional 26 October (location 2015 and dial in information) To be held at:
More informationComments on EBA Draft Regulatory Technical Standards
Comments on EBA Draft Regulatory Technical Standards On the homogeneity of the underlying exposures in securitisation under Art. 20(14) and 24(21) of Regulation (EU) 2017/2402 of the European Parliament
More informationContent. International and legal framework Mandate Structure of the draft RTS References Annex
Consultation paper on the draft regulatory technical standards on risk-mitigation techniques for OTC-derivative contracts not cleared by a CCP under Article 11(15) of Regulation (EU) No 648/2012 2 June
More informationEBA FINAL draft Regulatory Technical Standards
EBA RTS 2013 05 30 September 2013 EBA FINAL draft Regulatory Technical Standards on close correspondence between the value of an institution s covered bonds and the value of the institution s assets relating
More informationOfficial Journal of the European Union
5.3.2016 EN L 60/5 COMMISSION IMPLEMENTING REGULATION (EU) 2016/313 of 1 March 2016 amending Implementing Regulation (EU) No 680/2014 with regard to additional monitoring metrics for liquidity reporting
More informationGuidelines on the treatment of CVA risk under the supervisory review and evaluation process (SREP) 27 January 2016 Public Hearing, London
Guidelines on the treatment of CVA risk under the supervisory review and evaluation process (SREP) 27 January 2016 Public Hearing, London Outline 1. Background 2. General rationale of Pillar 2 approach
More informationCENTRAL BANK OF CYPRUS
CENTRAL BANK OF CYPRUS DIRECTIVE TO BANKS, COVERED BOND MONITORS AND COVERED BOND BUSINESS ADMINISTRATORS ΟΝ THE ISSUE OF COVERED BONDS BY APPROVED INSTITUTIONS AND THE CONDUCT OF COVERED BOND BUSINESS
More informationPublic consultation. on a draft Addendum to the ECB Guide on options and discretions available in Union law. Explanatory memorandum
Public consultation on a draft Addendum to the ECB Guide on options and discretions available in Union law Explanatory memorandum Contents 1 Context of the proposed act 2 1.1 Reasons for and objectives
More informationRegulations and guidelines 4/2018
Regulations and guidelines 4/2018 Management of credit risk by supervised entities in the financial sector 3 J. No. FIVA 13/01.00/2017 Issued 5 March 2018 1 July 2018 FINANCIAL SUPERVISORY AUTHORITY tel.
More informationEBA/GL/2018/10 17/12/2018. Final Report. Guidelines. on disclosure of non-performing and forborne exposures
EBA/GL/2018/10 17/12/2018 Final Report Guidelines on disclosure of non-performing and forborne exposures FINAL REPORT ON DRAFT FINAL GUIDELINES Contents Executive summary 3 Background and rationale 4 Guidelines
More informationProposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
EUROPEAN COMMISSION Brussels, 23.11.2016 COM(2016) 851 final 2016/0361 (COD) Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL amending Regulation (EU) No 806/2014 as regards loss-absorbing
More informationDRAFT ANNEX XXV REPORTING ON LIQUIDITY (PART 2 OUTFLOWS)
DRAFT ANNEX XXV REPORTING ON LIQUIDITY (PART 2 OUTFLOWS) 1. Outflows 1.1. General remarks 1. This is a summary template which contains information about liquidity outflows measured over the next 30 days,
More informationConsultation Paper. Draft Guidelines On Significant Credit Risk Transfer relating to Article 243 and Article 244 of Regulation 575/2013
EBA/CP/2013/45 17.12.2013 Consultation Paper Draft Guidelines On Significant Credit Risk Transfer relating to Article 243 and Article 244 of Regulation 575/2013 Consultation Paper on Draft Guidelines on
More information1. INTRODUCTION AND PURPOSE
Solvency Assessment and Management: Pillar 1 - Sub Committee Capital Requirements Task Group Discussion Document 75 (v 4) Treatment of risk-mitigation techniques in the SCR EXECUTIVE SUMMARY As per Solvency
More informationEBA/CP/2013/33 30 July Consultation Paper
EBA/CP/2013/33 30 July 2013 Consultation Paper Draft Regulatory Technical Standards On the definition of materiality thresholds for specific risk in the trading book under Article 77 of Directive 2013/36/EU
More informationESMA, EBA, EIOPA Consultation Paper on Initial and Variation Margin rules for Uncleared OTC Derivatives
ESMA, EBA, EIOPA Consultation Paper on Initial and Variation Margin rules for Uncleared OTC Derivatives Greg Stevens June 2015 Summary ESMA* have updated their proposal for the margining of uncleared OTC
More information(Text with EEA relevance)
1.12.2015 L 314/13 COMMISSION DELEGATED REGULATION (EU) 2015/2205 of 6 August 2015 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical
More informationEBF response to EBA consultation on homogeneity of underlying assets
15/03/2018 EBF response to EBA consultation on homogeneity of underlying assets Key points: Well established securitisations considered as high-quality under current market practices must be preserved
More informationGL ON COMMON PROCEDURES AND METHODOLOGIES FOR SREP EBA/CP/2014/14. 7 July Consultation Paper
EBA/CP/2014/14 7 July 2014 Consultation Paper Draft Guidelines for common procedures and methodologies for the supervisory review and evaluation process under Article 107 (3) of Directive 2013/36/EU Contents
More information14 July Joint Committee of the European Supervisory Authorities. Submitted online at
14 July 2014 Joint Committee of the European Supervisory Authorities Submitted online at www.eba.europa.eu Re: JC/CP/2014/03 Consultation Paper on Risk Management Procedures for Non-Centrally Cleared OTC
More informationRisk Management. Credit Risk Management
Credit Risk Management Credit risk is defined as the risk of loss arising from any failure by a borrower or a counterparty to fulfill its financial obligations as and when they fall due. Credit risk is
More information(Text with EEA relevance)
L 271/10 COMMISSION DELEGATED REGULATION (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with
More information24 June 2016 EBF Response to DG FISMA Consultation Paper on further considerations for the implementation of the NSFR in the EU
EBF_021324F The European Banking Federation is the voice of the European banking sector, uniting 32 national banking associations in Europe that together represent some 4,500 banks - large and small, wholesale
More informationGuidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures European Banking Authority (EBA) www.managementsolutions.com Research and Development December Página 2017 1 List of
More information5. Risk assessment Qualitative risk assessment
5. Risk assessment 5.1. Qualitative risk assessment A qualitative risk assessment is an important part of the overall financial stability framework. EIOPA conducts regular bottom-up surveys among national
More informationDeutsche Bank Credit Overview
Credit Overview August 2018 (including reported financials as of 30 June 2018) Summary Right-sizing of our Corporate & Investment Bank to focus on more stable revenue sources New strategic measures Near-term
More informationThe BBA is pleased to respond to this consultation on the net stable funding ratio. Please find below are comments on the key issues in the paper.
BBA response to BCBS 271: Basel III: The Net Stable Funding Ratio Introduction The British Bankers Association ( BBA ) is the leading association for UK banking and financial services for the UK banking
More informationINTERFUND SOCIETE D INVESTISSEMENT A CAPITAL VARIABLE UNDER LUXEMBOURG LAW WITH MULTIPLE SUB-FUNDS AND FULL INCOME CAPITALIZATION
INTERFUND SOCIETE D INVESTISSEMENT A CAPITAL VARIABLE UNDER LUXEMBOURG LAW WITH MULTIPLE SUB-FUNDS AND FULL INCOME CAPITALIZATION R.C.S. LUXEMBOURG B 8.074 ADDENDUM TO THE PROSPECTUS This addendum of July
More informationUPDATE ON THE EBA REPORT ON LIQUIDITY MEASURES UNDER ARTICLE 509(1) OF THE CRR RESULTS BASED ON DATA AS OF 30 JUNE 2018.
UPDATE ON THE EBA REPORT ON LIQUIDITY MEASURES UNDER ARTICLE 509(1) OF THE CRR RESULTS BASED ON DATA AS OF 30 JUNE 2018 20 March 2019 Contents List of figures 3 List of tables 4 Abbreviations 5 Executive
More informationDWS USA Corporation. U.S. Liquidity Coverage Ratio Disclosures. For the quarter ended December 31, 2018
DWS USA Corporation U.S. Liquidity Coverage Ratio Disclosures For the quarter ended December 31, 2018 1 Table of Contents The Liquidity Coverage Ratio (LCR) 3 U.S. Disclosure Requirements 4 U.S. Qualitative
More informationCovered Bond Ratings. Creditreform Rating AG Rating Methodology. Neuss, July 2017 Version 1.0
Creditreform Rating AG Rating Methodology Covered Bond Ratings Neuss, July 2017 Version 1.0 Creditreform Rating AG Hellersbergstraße 11 D 41460 Neuss www.creditreform-rating.de Table of Content 1 2 3 INTRODUCTION...
More informationcovered bonds in the us
covered bonds in the us In this tight credit market, US banks looking for new sources of funding for their loan originations may find covered bonds a viable alternative. If proposed legislation is adopted,
More informationEBF Response to EBA Consultation on draft ITS amending ITS on supervisory reporting on Liquidity Coverage Ratio (EBA/CP/2014/45)
EBF_0125713v5 The European Banking Federation is the voice of the European banking sector, uniting 32 national banking associations in Europe that together represent some 4,500 banks - large and small,
More informationThank you for giving us the opportunity to express our views regarding the recent consultation paper on Liquidity Buffers and Survival Periods (CP28).
CEBS Mr. A. Vossen liquidity@c-ebs.org Date: October 30 th, 2009 Reference: BR1003/5 Subject: Reaction CP28 Onno Steins, MSc. Advisor Regulatory Affairs and Financial Markets T +31 20-55 02 816 M +31 6
More informationLUXEMBOURG 3.14 LUXEMBOURG. By Frank Will, RBS and Reinolf Dibus, EUROHYPO Europäische Hypothekenbank S.A. I. FRAMEWORK
LUXEMBOURG 3.14 LUXEMBOURG By Frank Will, RBS and Reinolf Dibus, EUROHYPO Europäische Hypothekenbank S.A. I. FRAMEWORK The issuance of Lettres de Gage is regulated by Articles 12-1 to 12-9 of the Financial
More informationCOMMISSION DELEGATED REGULATION (EU) No /.. of
EUROPEAN COMMISSION Brussels, 26.10.2015 C(2015) 7245 final COMMISSION DELEGATED REGULATION (EU) No /.. of 26.10.2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council
More informationComments. On the EBA s Consultation Paper Draft on the RTS and ITS on the securitisation retention rules EBA/CP/2013/14
Comments On the EBA s Consultation Paper Draft on the RTS and ITS on the securitisation retention rules EBA/CP/2013/14 Contact: Olaf Instinsky Telephone: +49 30 20225-5439 Fax: +49 30 20225-5405 Email:
More informationAnnex I - SUPERVISORY REPORTING REQUIREMENTS FOR LIQUIDITY COVERAGE AND STABLE FUNDING RATIO
20 December 2012 Annex I - SUPERVISORY REPORTING REQUIREMENTS FOR LIQUIDITY COVERAGE AND STABLE FUNDING RATIO Feedback on the public consultation and on the opinion of the BSG On 7 June 2012, the EBA publicly
More informationEuropean Association of Co-operative Banks Groupement Européen des Banques Coopératives Europäische Vereinigung der Genossenschaftsbanken
Brussels, 21 March 2013 EACB draft position paper on EBA discussion paper on retail deposits subject to higher outflows for the purposes of liquidity reporting under the CRR The voice of 3.800 local and
More informationConsultation Paper. Draft Guidelines EBA/CP/2018/03 17/04/2018
CONSULTATION PAPER ON SPECIFICATION OF TYPES OF EXPOSURES TO BE ASSOCIATED WITH HIGH EBA/CP/2018/03 17/04/2018 Consultation Paper Draft Guidelines on specification of types of exposures to be associated
More informationPublic consultation. Draft guidance of the European Central Bank on leveraged transactions. Template for comments
Public consultation Draft guidance of the European Central Bank on leveraged transactions Template for comments Contact details (will not be published) Institution/Company UniCredit Contact person Mr Ms
More informationNordea Mortgage Bank Covered Bonds Investor presentation Q3 2017
Nordea Mortgage Bank Covered Bonds Investor presentation Nordea Mortgage Bank Plc overview 100% owned subsidiary of Nordea Bank AB - the largest Nordic financial institution Operates as a mortgage credit
More informationGeneral comments We welcome the Commission consultation on an issue that has sparked so much public debate in recent times.
International Regulatory and Antitrust Affairs INTESA SANPAOLO RESPONSE TO THE COMMISSION CONSULTATION ON SHORT SELLING 9 JULY 2010 REGISTERED ORGANIZATION N 24037141789-48 The Intesa Sanpaolo Group is
More informationLCR level 1 by the Swedish FSA (Finansinspektionen)
LCR level 1 by the Swedish FSA (Finansinspektionen) Kommuninvest s bonds may be classified as level 1 assets Bonds issued by Kommuninvest may be treated as level 1 assets pursuant to the rules governing
More informationOCTOBER 2017 METHODOLOGY. Derivative Criteria for European Structured Finance Transactions
OCTOBER 2017 METHODOLOGY Derivative Criteria for European Structured Finance Transactions PREVIOUS RELEASE: OCTOBER 2016 Derivative Criteria for European Structured Finance Transactions DBRS.COM 2 Contact
More informationDeutsche Bank Credit Overview
Credit Overview October 2018 (including reported financials as of 30 September 2018) Summary Strategic adjustments to the franchise now complete Strategic measures Near-term targets of return on tangible
More informationESMA s consultation papers on draft regulatory standards under the securitisation regulation Roxana Damianov, Thierry Sessin-Caracci, Adrien Amzallag
ESMA s consultation papers on draft regulatory standards under the securitisation regulation Roxana Damianov, Thierry Sessin-Caracci, Adrien Amzallag Outline New Securitisation Regulation & ESMA s deliverables
More informationEuropean DataWarehouse
European DataWarehouse Due Corporate Diligence Presentation using ED Cloud October Pro 2014 Webinar November 2016 Draft European Framework for Simple, Transparent and Standardised Securitisation (STS)
More informationDirection. On a solo basis: Abbey National plc (the "principal firm(s)") Abbey National Treasury Services plc ("ANTS")
Direction To: On a solo basis: Abbey National plc (the "principal firm(s)") Abbey National Treasury Services plc ("ANTS") On a consolidated basis: Abbey National plc Cater Allen Ltd Abbey Stockbrokers
More informationFSRR Hot Topic. CRD 5 FRTB Sizing up the trading book. Stand out for the right reasons Financial Services Risk and Regulation. 1.
www.pwc.co.uk/fsrr December 2016 Stand out for the right reasons Financial Services Risk and Regulation FSRR Hot Topic CRD 5 FRTB Sizing up the trading book Highlights The EU specific adjustments to FRTB
More informationMr. Giovanni Carosio 30 ottobre 2009 Chair Prot. RK/003690
Roma Mr. Giovanni Carosio 30 ottobre 2009 Chair Prot. RK/003690 CEBS Tower 42 (level 18) 25 Old Broad Street London EC2N 1HQ UK CEBS Consultation Paper (CP28) on Liquidity buffers & Survival periods Dear
More information