European Securities and Markets Authority (ESMA)’s Post

Comprehensive review of EU CCPs

European #CCPs once again pass the test. According to the results of the 5th European Securities and Markets Authority (ESMA) and European Systemic Risk Board CCP Stress Test exercise, EU and Tier 2 CCPs proved to be overall resilient towards the different types of risks under the considered scenarios and assumptions. This exercise included additional #credit, #concentration, #liquidity and #climate risks scenarios as well as ecosystem analysis. These additional scenarios confirm that CCPs are resilient against an extended set of market stress and correlation breakdown assumptions.   The report can be downloaded here: https://lnkd.in/eddsAX-v #Resilience #RiskManagement #CCP #Clearing #Europe #StressTests

PBOC Moves A Step Closer to Yield-Curve Control The PBOC announced a new, additional daily open-market operation window (4-4:20 p.m.) today for financial institutions to deposit or borrow temporary overnight funds, with the associated rates based on spreads around the seven-day reverse repo (RR) rate -- and hence forming a new policy-rate corridor. Apart from facilitating the plan to sell CGBs going forward, as the new rate ceiling could prevent short-end rates jumping too much upon any liquidity drain (hence, essentially a yield-curve control), this could also be an intention to further nurture the 7-day RR as the key policy rate (away from the 1-year MLF rate) going forward. The asymmetric rates corridor may also reflect some tolerance for short-end rates rise in the near-term ... For the Bloomberg Intelligence react written with Jason Lee out earlier this morning, please visit the rates strategy homepage BI RATEN <GO>: "PBOC New Policy-Rate Corridor Paves Way to Yield-Curve Control" (terminal link: https://lnkd.in/gESAn2Ts). #bloombergintelligence #rates #bonds #ycc #pboc #china PBOC 7-Day RR and the New Corridor (Source: Bloomberg Intelligence)

The ESMA Stress Test results are in! 🎉🎈 In its report, European Securities and Markets Authority (ESMA) states that all supervised CCPs proved to be resilient using credit and liquidity stress scenarios based on some of the most severe historical market events. CCPA's results are very reassuring - no losses were identified in the stress test that were not covered by the available resources. You can find the full report from ESMA here 👉 https://lnkd.in/gqMjEwJA

The EBA publised today the European Supervisory Examination Programme (ESEP) for 2024 Priorities: 💸 Liquidity and funding risk 📈 Interest rate risk and hedging ⛑Recovery operationalisation  #liquidity  #Recovery  

Read interesting welcome speech of Christine Lagarde at the annual conference of the European Systemic Risk Board (#ESRB): 🌐 ESRB Conference Insights: first general warning one year on 💡 Ongoing Risks: Challenges persist, including potential strains on bank profitability, vulnerable financial nodes, and possible contagion channels. The ESRB emphasizes the need for continued action to prevent risks from materializing over the medium term. https://lnkd.in/gA-NGMxX #ESRBConference #FinancialStability #RiskManagement #BankingInsights

Wait, a Robust Term Rate Market Can be Used to Determine a Spot Rate? Hasn't the opposite view been used to throttle term SOFR? From linked article: "Euribor will be calculated differently from May, after a consultation found broad support for ending the use of ‘expert judgement’ to determine the rate. The new methodology, proposed last October by the European Money Markets Institute (Emmi), will see the cost of unsecured euro funding extrapolated from a term version of the short-term rate, or €STR, in the absence of real transactions." #libortransition #libor #euribor #ARRC #EMM #ESMA #FCA #ISDA #SOFR #TermSOFR #ISDA #FRBNY

Annual Report highlights Financial Stability Board (FSB)’s work to assess and address vulnerabilities in the global financial system The Financial Stability Board (FSB) published its latest Annual Report on October 11st, 2023. The report, which was delivered to G20 Finance Ministers and Central Bank Governors ahead of their meeting in Marrakesh, describes the FSB’s work to promote global financial stability. The report outlines the work the FSB is doing to address these vulnerabilities. This includes work to: 👉 enhance resilience in non-bank financial intermediation (#NBFI); 👉 improve cross-border payments; 👉 enhance the resolution of central counterparties (#CCPs); 👉 address financial risks from #climate change; 👉 finalize a global regulatory framework for #crypto-asset activities. The report finds that progress in implementing the G20 financial regulatory reforms continues but remains uneven. FSB member jurisdictions continue to implement the finalized #Basel III reforms, though implementation in many cases is being pushed to 2024 or later. Work is still ongoing to close gaps in the operationalization of resolution plans for banks and to implement effective resolution regimes for insurers and CCPs. The report notes that implementation of NBFI reforms continues at a slow pace and is at an earlier stage than other reform areas. Please find enclosed the FSB Annual Report for further details Promoting Global Financial Stability: 2023 FSB Annual Report #FSB #NBFI #CCPs #climate #crypto-assets #BaselIII 

The U.S. Treasury Department has recently completed a pioneering #climaterisk assessment of over two dozen banks. This marks a significant move towards integrating climate considerations into the financial sector's #riskmanagement strategies. Key Points: 📈 Climate Risk Assessment: The Treasury Department's "discovery review" evaluated how banks are factoring climate change into their loan books and overall business operations. This includes examining their approach to #energyfinance and greenhouse gas emissions. 🌱 Guidance Implementation: The review aligns with the guidance issued in October by the Department, alongside the Federal Reserve and FDIC, for banks with assets over $100 billion. 🚨 Future Oversight: Banks may face disciplinary action as early as next year if they do not show progress in implementing these guidelines. 🤝 Collaboration with Other Regulators: The OCC worked closely with the Federal Reserve and even the Bank of England's Prudential Regulation Authority in some cases, highlighting the global nature of this initiative. This move underscores the growing recognition of climate-related financial risks and the need for the banking sector to adapt proactively. It's a significant step towards a more resilient and environmentally conscious financial system.

New in #RiskIntelligence: More common in Europe until now, synthetic risk transfes can effectively off-load credit risks and help improve capital efficiency. But the pricing has to be right. https://bit.ly/4bCPPtr #financialrisk #creditrisk #syntheticrisktransfer #GARPFRM