Published in the Official Journal of the European Union of 1 August 2023 the Delegated Regulation (UE) No. 2023/1578 supplementing Regulation (EU) No 575/2013 (CRR) with regard to regulatory technical standards specifying the requirements for the internal methodology or external sources used under the internal default risk model for estimating default probabilities and losses given default.
Article 325-novosexagies (5)(e) and (6)(d) CRR provides that an institution that, for the purposes of calculating the own funds requirement, has not been authorised to estimate the probability of default or loss given default, shall develop an internal methodology or use external sources to estimate the probability of default.
The requirements of such an internal methodology must be consistent with those applied to methodologies of institutions authorised to estimate probabilities of default or losses in case of default.
However, there may be cases where neither the use of external data sources or the use of internal models, due to the lack of input data or the disproportionate effort that this would require, is not possible in compliance with the CRR provisions.
The Delegated Regulation therefore defines, on one hand, the conditions for fulfilling the same requirements that apply to authorised institutions and, on the other hand, the authorised exemptions from the requirements of Article 325-novosexagies CRR.
ESMA has published the new quarterly liquidity assessment of bonds, the data for the quarterly systematic internaliser calculations for equity, equity-like instruments, bonds and for other non-equity instruments and the consolidated tape provider (CTP) under MiFID II and MiFIR.
EBA has launched a public consultation on amendments to its Guidelines on the specification and disclosure of systemic importance indicators.
The proposed changes aim primarily at updating the annex which replicates the data template issued by the Basel Committee on Banking Supervision (BCBS) on a yearly basis.
The consultation will end on 1 September 2023.