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THE EBA CONSULTS ON AMENDMENTS TO THE OPERATIONAL RISK PILLAR 3 AND SUPERVISORY REPORTING REQUIREMENTS TO IMPLEMENT THE BASEL III REFORMS IN THE EU
The European Banking Authority (EBA) launched a public consultation on two draft Implementing Technical Standards (ITS) amending Pillar 3 disclosures and supervisory reporting requirements for operational risk. These consultations complement two additional consultation papers on Pillar 3 and supervisory reporting published on 14 December 2023, in line with the roadmap for the implementation of the EU Banking Package. The consultations run until 30 April 2024. Read the detailed content here.
MONETARY POLICY DECISIONS
The Governing Council decided to keep the three key ECB interest rates unchanged. The incoming information has broadly confirmed its previous assessment of the medium-term inflation outlook. Aside from an energy-related upward base effect on headline inflation, the declining trend in underlying inflation has continued, and the past interest rate increases keep being transmitted forcefully into financing conditions. Tight financing conditions are dampening demand, and this is helping to push down inflation. For more info click here.
THE EBA PUBLISHES ITS HEATMAP FOLLOWING SCRUTINY OF THE INTEREST RATE RISK IN THE BANKING BOOK
The European Banking Authority (EBA) published its heatmap following scrutiny of the interest rate risk in the banking book (IRRBB) standards implementation in the EU. The heatmap discloses policy aspects that will be subject to further scrutiny, and corresponding actions in the short to medium and long term. Explore the full article here.
EBA CONSULTS ON AMENDING THE DATA COLLECTION FOR THE BENCHMARKING EXERCISE IN 2025
The European Banking Authority (EBA) published a consultation paper amending the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2025 exercise. The most significant change is in the market risk framework, where the EBA is proposing brand new templates for the collection of the internal model approach (IMA) risk measures under the fundamental review of the trading book (FRTB). For credit risk only minor changes are being proposed. This consultation runs until 27 March 2024. Continue reading.
THE EBA REVISES REPORTING REQUIREMENTS FOR MARKET RISK
The European Banking Authority (EBA) published amendments to the reporting requirements for market risk. As the implementation of the Fundamental Review of the Trading Book (FRTB) in the EU approaches, the EBA revised the information to be reported on the own funds requirements under the alternative approaches, and adds reporting on reclassifications of instrument between the regulatory books. Read the full article here.
ECB PUBLISHES SUPERVISORY BANKING STATISTICS ON SIGNIFICANT INSTITUTIONS FOR THE THIRD QUARTER OF 2023
Aggregate Common Equity Tier 1 ratio at 15.61% in third quarter of 2023. Aggregated annualised return on equity at 10.01% in third quarter of 2023. Aggregate non-performing loans ratio (excluding cash balances) stable at 2.27%. Share of loans showing significant increase in credit risk (stage 2 loans) rose slightly to 9.29%. Statistics include the ratio of loans and advances with significant increase in credit risk (stage 2) by counterparty and loan type for the first time. Access the full content here.
CENTRAL BANK MONITORING IV/2023
Most of the central banks under review did not change their rates in the last quarter, but a few of them have raised their rates further, while others are gradually lowering them. The ECB has moved to the next phase of the digital euro project, the mandates of the central banks in New Zealand and Australia have changed. Spotlight focuses on monetary policy of the Chinese central bank. In our Selected Speech, SNB Governor discusses the role of monetary policy uncertainty in the context of current economic developments. Find the latest edition right here.
UNEXPECTED LOSS ESTIMATION – R SHINY
Simple application which demonstrates one of the possible variants of implementing mathematical models in practice, which does not require large financial costs. The mathematical model (in this case it is a basic model for calculating unexpected risk based on the CreditMetrics methodology) is programmed in the freely available programming language R and the user interface is implemented in the Shiny framework. These globally used software tools allow easy implementation of very complex mathematical models and graphically advanced user interfaces.
SCORING DEVELOPMENT APPLICATION – R SHINY
This application is a simple yet effective tool for creating scoring models from initial univariate data analysis to basic validation of the resulting model. The range of methods and tools implemented has been deliberately simplified for this demonstration. If desired, additional functionalities and mathematical methods can be added to ensure that the application meets the needs and methodological requirements of users. The application is programmed in the freely available programming language R and the user interface is implemented in the Shiny framework.