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Recent UK and EU regulatory developments of interest to financial institutions and markets. Also check our Financial institutions general regulatory news of broader application in the Related Materials links.
Contents
IBA publishes GBP SONIA Spread-Adjusted ICE Swap Rate beta settings
Global perspective on derivatives regulation: IOSCO speech
EU SSR: ESMA proposes permanently lowering reporting threshold of net short positions
The European Securities and Markets Authority (ESMA) has published an opinion in which it recommends that the European Commission permanently lowers the threshold to notify net short positions on shares to national competent authorities (NCAs), under Article 5(2) the Short Selling Regulation, from 0.2% to 0.1%.
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Reports on key recent regulatory developments focussing on banking and finance. See also our Financial institutions general regulatory news and other sector news in the Related Materials links.
Contents
LIBOR transition: Working Group recommends successor rate for fallbacks in bond documents
Securitisation requirements: ECB to supervise bank compliance
SSM reporting of supervisory financial information: ECB adopts amendments
EU crisis management and deposit insurance framework review: SRB blueprint
EBA report on reliance on external credit ratings
2022/23 supervisory benchmarking exercise for capital internal models: PRA statement
The UK Prudential Regulation Authority (PRA) has published a statement on its expectations concerning the 2022 and 2023 supervisory benchmarking exercise relating to banks capital internal models. These relate to year-ends 2021 and 2022 respectively. The statement is relevant to those cr
Intercontinental Exchange: ICE Benchmark Administration Launches GBP SONIA Spread-Adjusted ICE Swap Rate Beta Settings Beta settings.
IBA is publishing daily, indicative GBP SONIA Spread-Adjusted ICE Swap Rate Beta settings for an initial testing period. The settings are designed to support the market in transitioning non-linear derivatives, structured products and cash market instruments that currently reference GBP LIBOR ICE Swap Rate.
GBP SONIA Spread-Adjusted ICE Swap Rate Beta settings are available
here, alongside GBP SONIA ICE Swap Rate. The Beta settings are published for tenors ranging from one to 30 years and are determined in line with the methodology proposed by the Working Group on Sterling Risk-Free Reference Rates in its paper
The FCA And The Bank Of England Encourage Market Participants In A Switch To SONIA In The Sterling Exchange Traded Derivatives Market From 17 June Date
13/05/2021
Following close engagement with market participants, the FCA and Bank of England support and encourage market users and liquidity providers in the sterling exchange traded derivatives market to switch the default traded instrument to SONIA instead of LIBOR from 17 June this year. This is to facilitate a further shift in market liquidity toward SONIA, bringing benefits for a wide range of users as they move away from LIBOR.
Statement
A key milestone recommended by the Working Group on Sterling Risk-Free Reference Rates (‘the Working Group’) is to cease initiation of new GBP LIBOR exchange traded derivatives expiring after 2021 by end-Q2 2021, other than for risk management of existing positions. The Working Group milestones have supervisory backing from the PRA and FCA as set out in the recent ‘Dear CEO