EBA Publishes RWA Assessment as the Next Step in Improving Consistency of Internal Model Outcomes
The European Banking Authority (EBA) has published two reports on the consistency of Risk-Weighted Assets (RWAs) across large EU institutions for large corporate, sovereign and institutions' Internal Ratings-Based (IRB) portfolios (collectively referred to as "low default portfolios", or LDP). The LDP analysis explains how much of the variability in RWAs is led by difference in riskiness (namely, idiosyncratic portfolio features), and tries to identify residual drivers that are linked to banks' practices. The CCR benchmarking report considers the calculation of counterparty credit risk (CCR) exposures under the Internal Model Method (IMM) and the credit value adjustments (CVA) according to the advanced approach (ACVA).
The reports summarize the findings obtained from two benchmarking exercises aimed at improving the comparability of EU banks' RWAs. A key finding is that around 75% of the observed difference in global charge (GC) levels across institutions could be explained by the proportion of defaulted exposures in the portfolio and the portfolio mix. As for the CCR and ACVA analyses, the report shows that there is significant variability across banks in the calculation of CCR and ACVA, especially for equity and foreign exchange OTC derivatives.
ESMA Publishes 17th Extract from EECS' Enforcement Decisions
The European Securities and Markets Authority (ESMA) has published extracts from the European Enforcers Coordination Sessions confidential database of enforcement decisions on financial statements. European Enforcers monitor and review International Financial Reporting Standards (IFRS) statements and consider whether they comply with IFRS and other applicable reporting requirements, including relevant national law. The decisions included in this publication were taken by national enforcers in the period from February 2013 to November 2014
The aim of the publication is to provide issuers and users of financial statements with relevant information on the appropriate application of the IFRS. It will inform market participants about which accounting treatments European national enforcers may consider as complying with IFRS – namely, whether treatments are considered as being within the accepted range of those permitted by IFRS. The publication of the decisions, together with the reasoning behind them, will contribute to a consistent application of IFRS in the EEA. Release.
ESMA's New Q and A Responses on the Application of AIFMD and Consultation on New Guidelines
ESMA has published updated questions and answers on the application of the Alternative Investment Fund Managers Directive (AIFMD), which includes updated and new questions and answers on reporting to national authorities and the calculation of the total value of assets under management (AUM). In the same week, it has launched a consultation on proposed guidelines on sound remuneration policies under AIFMD and the UCITS V Directive (the latest changes to the Undertakings for Collective Investments in Transferable Securities Directive).
UCITS V includes rules that UCITS must comply with when establishing and applying a remuneration policy for certain staff categories and the proposed UCITS Remuneration Guidelines further clarify the Directive's provisions. The proposed Guidelines aim to ensure a convergent application of the remuneration provisions and will provide guidance on issues such as proportionality, governance of remunerations, requirements on risk alignment and disclosure. The consultation paper also proposes a revision of the AIFMD Remuneration Guidelines by clarifying that, in a group context, non-AIFM sectoral prudential supervisors of group entities may deem certain staff of an AIFM in that group to be identified staff for the purpose of their sectoral remuneration rules.
ESMA will consider the feedback received to the consultation and is aiming to finalize and publish the UCITS Remuneration Guidelines and a final report by Q1 2016, ahead of the transposition deadline for the UCITS V Directive (March 18, 2016). It is expected that the final report will also include the revision of the AFIMD Remuneration Guidelines.
|