The European Systemic Risk Board (ESRB) provided the narrative for this year’s pension funds stress test exercise conducted by EIOPA. The climate risk scenario was developed together with the European Central Bank and relies on an abrupt carbon price increase leading to high transition risk. The shocks are calibrated using the National Institute Global Econometric […]
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The European Insurance and Occupational Pension Authority (EIOPA) has launched a public consultation on draft Guidelines on integrating customer’s sustainability preferences in the suitability assessment under the Insurance Distribution Directive (IDD). With the Guidelines, EIOPA aims to: promote a coherent application of the Delegated Regulation; restrict potential mis-selling of insurance products with regard to sustainability […]
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EIOPA has published two reports on the revision of the EIOPA Guidelines on contract boundaries and Guidelines on the valuation of technical provisions. Since 2019, EIOPA noticed divergent practices in the valuation of technical provisions and therefore felt the need to analyse and improve the consistency of the calculation method. To achieve this, a two […]
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The European Securities and Markets Authority (ESMA) has written to the European Commission (EC) providing its high-level response to the consultation on a targeted review of European Market Infrastructure Regulation (EMIR) with respect to the European Union (EU) central clearing framework. In the response, ESMA recommends to: increase the attractiveness of cleared EU markets, e.g. […]
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The European Banking Authority (EBA) published its final standards on probabilities of default (PD) and loss given default (LGD) for institutions using the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). One of the requirements to be met under the internal default risk model entails institutions being capable of […]
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A special feature of the Q4 risk dashboard published by the EBA highlights the potential impact of the Russian invasion of Ukraine on banks in the European Economic Area (EEA). Based on the initial assessment, direct exposure to countries hampered by the western sanctions is limited. Second-round effects may be more material, however, as those […]
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The Dutch Central Bank (DNB) published a study on the required investments to improve the sustainability of real estate. Real estate exposures (via direct investments and collateralised loans) represent over 25% of assets of Dutch banks, insurers, and pension funds. Much of this property will have to be made more sustainable in the years ahead. […]
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The European Banking Authority (EBA) has published a discussion paper (DP) to start a discussion on the appropriateness of the current Pillar I framework to address environmental risk drivers. The DP provides an initial assessment of how the Pillar I framework interacts with environmental risks. First an assessment is made to what extent climate risk […]
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