(Only in Italian)

Banca d’Italia ha annunciato un aggiornamento sul termine delle misure temporanee per banche e intermediari non bancari introdotte a seguito della pandemia in materia di LCR, P2G, CCB, LR.

Superate le esigenze straordinarie legate alla pandemia, alla luce della situazione complessiva del sistema bancario e finanziario italiano e del miglioramento del quadro congiunturale, Banca d’Italia, in coerenza con le decisioni assunte dalla Banca centrale europea (BCE) per le banche significative, comunica di non estendere le misure temporanee per le banche meno significative e gli intermediari non bancari vigilati.

In particolare:

  • il 15 marzo 2022 termina la misura in materia di liquidità, che ha consentito alle banche meno significative di operare con un coefficiente di copertura della liquidità (LCR) inferiore al 100%;
  • non sarà estesa oltre il 31 dicembre 2022 la misura in materia di buffer di capitale, che ha consentito alle banche meno significative e agli intermediari non bancari di operare al di sotto del CCB e/o della P2G;
  • è confermato al 31 marzo 2022 il termine fino al quale le banche meno significative potranno escludere dalla misura dell’esposizione complessiva utilizzata per il calcolo del coefficiente di leva finanziaria alcune esposizioni verso banche centrali.

Banca d’Italia rimane impegnata a verificare che le politiche di distribuzione dei dividendi degli intermediari siano improntate alla prudenza, alla luce dell’incertezza che ancora riguarda l’evoluzione delle prospettive macroeconomiche.

European Central Bank has published a study of the new credit risk provisions at a portfolio level for the banks that have been subject to EBA stress tests.
First, a model is defined containing macroeconomic variables considered by the EBA methodological approach.
The ECB results show that, although the EBA variables explain most of the credit risk provisions, bank-specific variables, the characteristics of the banking sector in each country and portfolio-specific characteristics play a non-marginal role.

The International Swaps and Derivatives Association (ISDA) has published a document that will give firms the option to trade derivatives and securities financing transactions (SFTs) under a single ISDA Master Agreement.
In particular, ISDA points out, a single document for both derivatives and SFTs will reduce complexity and duplication, create efficiencies in the negotiation and management of documentation, and allow documentation to be updated consistently for both sets of products.
The use of a single document will also lead to larger clearing sets, helping firms to reduce credit risk.

ESMA has published the results of the annual transparency calculations for equity and equity-like instruments, which will apply from 1 April 2022.

The calculations made available include:

  • the liquidity assessment as per Articles 1 to 5 of CDR 2017/567;
  • the determination of the most relevant market in terms of liquidity as per Article 4 of CDR 2017/587 (RTS 1);
  • the determination of the average daily turnover relevant for the determination of the pre-trade and post-trade large in scale thresholds;
  • the determination of the average value of the transactions and the related the standard market size; and
  • the determination of the average daily number of transactions on the most relevant market in terms of liquidity relevant for the determination of the tick-size regime.

ESMA has published an analysis of the impact of short selling bans on market liquidity.
In particular, ESMA points out, short selling bans are associated with a deterioration in liquidity.
However, using two different measures to calculate volatility, the analysis shows that stocks from countries with short selling bans showed a lower degree of volatility.
The deterioration in liquidity, continues ESMA, appears more pronounced for large capitalisation stocks, highly fragmented stocks and stocks with listed derivatives, indicating stronger effects for stocks considered to be liquid.
The econometric analysis undertaken did not identify any statistically significant correlation with abnormal returns, suggesting that the bans did neither harm nor sustain market prices.

EBA has published a Report which analyses the recent developments and challenges of introducing sustainability in the EU securitisation market. The EU sustainable market is still at an early stage of development and the application of sustainability requirements in securitisation appears to require further clarification.

The Report examines how sustainability could be introduced in the specific context of securitisation to foster transparency and credibility in the EU sustainable securitisation market and to support its sound development.

In particular, the Report explores the following aspects:

  • whether and how the EU regulations on sustainable finance, including the EU Green Bond Standard (EU GBS), the EU Taxonomy, and the Sustainable Finance Disclosure Regulations could be applied to securitisation;
  • the relevance of a dedicated regulatory framework for sustainable securitisation and;
  • the nature and content of sustainability-related disclosures for securitisation products.

EBA sees the proposed adjustments as an intermediate step to allow the sustainable securitisation market to develop and to play a role in financing the transition towards a greener EU economy.