ESMA has published its first Risk Dashboard (RD) for 2021 covering the first quarter of the year.
The RD highlights that the main risk for EU financial markets remains that posed by a sudden risk reassessment, amid the general decoupling of securities prices from economic fundamentals, and is maintains its risk assessment at a very high level.
The updated ITS include all benchmarking portfolios and metrics that will be used for the 2022 exercise. For credit risk, a limited number of additional data fields was added to understand the level of conservatism incorporated in the risk estimates and the resulting risk weighted exposures amounts. In addition, some enhancements were made regarding the existing data requirements. For the IFRS9 portfolios, a limited number of additional data fields has been included to collect information on additional IFRS 9 parameters, in particular the Loss Given Default (LGD). In addition, the update includes changes and clarifications that the EBA introduced based on the Consultation Paper that was published on 17 December 2020.
The measure – introduced in 2018 – intends to tighten, for French global or other systemically important institutions, the large-exposure limits applicable to large and highly indebted non-financial corporations (NFCs) or groups of connected NFCs assessed to be highly indebted. Based on the evidence submitted, the EBA does not object to the extension of the proposed measure, which will be applied for two years from 1 July 2021 to 30 June 2023.
The Guidelines complement the Delegated Regulation (EU) 2021/895 and the Delegated Regulation (EU) 2021/896 and regulate the applicable reporting deadlines for the PEPP providers to the competent authorities in line with the relevant sectoral rules in place. Furthermore, the Guidelines define the requirements of a ‘PEPP supervisory report’, including the content of the narrative reporting on the PEPP business. They are addressed to all PEPP competent authorities and are applicable from 22 March 2022.
RFR information has been calculated on the basis of the content of the Technical Documentation published on 31 May 2020 and based on RFR coding released on 8 October 2019.
The majority of LIBOR panels will cease at the end of this year, although a number of key US dollar (USD) settings will continue until end-June 2023, to support the rundown of legacy contracts only. In light of these developments, and to facilitate an orderly transition by end-2021, the FSB has published the following statements and reports that set out recommendations for financial and non-financial sector firms, as well as the authorities, to consider:
- An updated global transition roadmap that, drawing on national working group recommendations, summarises the high-level steps firms will need to take now and over the course of 2021 to complete their transition.
- A paper reviewing overnight risk-free rates and term rates, building on the concept that the tools necessary to complete the transition are currently available. The FSB cautions market participants against waiting for the development of additional tools, in particular forward-looking term risk-free rates.
- A statement on the use of the ISDA spread adjustments in cash products, to support transition particularly in loan markets, which remains an area of concern with much new lending still linked to LIBOR.
- A statement encouraging authorities to set globally consistent expectations that regulated entities should cease the new use of USD LIBOR in line with the relevant timelines for that currency, regardless of where those trades are booked.
The FSB also welcomes the statement on benchmarks transition published today by the International Organization of Securities Commissions, which reiterates the importance of ensuring a smooth and timely transition away from LIBOR.
This transition will require market participants to stop issuing new products that use LIBOR as a reference rate and efforts to transition away from LIBOR in legacy contracts.
In particular, in light of the significant use of US dollar LIBOR globally, IOSCO encourages all market participants to discontinue use of USD LIBOR as soon as possible and no later than the end of 2021, supporting the guidelines issued by the US Banking Supervisors in November 2020 and March 2021.
IOSCO also recalls the importance of transition from LIBOR to alternative rates that comply with the IOSCO Principles on Financial Benchmarks.
(Only in Italian)
The rules of the EuroTLX market are amended with regard to the rules governing the cancellation of financial instruments in order to align its wording with the provisions of the other markets of Borsa Italiana, and also to provide for the cancellation of securitized derivative financial instruments for which the recognition of the settlement amount at maturity is carried out prior to the natural cancellation, differentiated according to the type of instrument traded. The amendments described in the present Notice will come into force on the 21st June 2021.
Borsa Italiana with Notice n.19365 of 3 June 2021 has published the amendments to the MTF’s market rules -participation of intermediaries in markets – and SEDEX market rules: i. distribution on the market ii. cancellation of financial instruments at maturity and underlying assets.
The amendments described in this notice will enter into force on 21st june 2021.
the Market Rules – ETFplus Market revision of tick sizes for negotiated transaction RFQ market maker ranking. The amendments to the Instructions accompanying the Rules of the Markets
described below, will enter into force on the 21st June 2021.
