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Topic: Capital Adequacy

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Corrigendum to IFR published in OJ

On 24 January 2020, there was published in the Official Journal of the EU a corrigendum to the Investment Firms Regulation (IFR). The corrigendum amends Article 63(4)(e)(7) and Article 63(4)(f)(8) bringing the deadline for the European Securities and Markets Authority to submit draft regulatory technical standards and draft implementing technical standards a year forward, from … Continue Reading

EBA consults on RTS on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk

On 13 January 2020, the European Banking Authority (EBA) launched a consultation on draft regulatory technical standards (RTS) on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk. The draft RTS have been developed in accordance with Article 325(9) of the amended Capital Requirements Regulation (CRR II). Article 325(9) mandates the … Continue Reading

ECB Letter: Clarification of the process regarding recognition of contractual netting agreements as risk-reducing

On 19 December 2019, the European Central Bank (ECB) published a letter that it had sent to significant institutions in October, which provides clarification of the process to be applied by it as of 10 November 2019 for significant credit institutions with regard to the recognition of contractual netting agreements as risk reducing pursuant to … Continue Reading

FSB report assesses vulnerabilities of leveraged loans and CLOs

On 19 December 2019, the Financial Stability Board (FSB) published a report on vulnerabilities associated with leveraged loans and collateralised loan obligations (CLOs). The report assesses the financial stability implications of developments in the leveraged loan and CLO markets. It provides a global perspective by combining available data and analyses from FSB members. The main … Continue Reading

EBA draft standards on key aspects related to the implementation of the standardised approach for counterparty credit risk

On 18 December 2019, the European Banking Authority (EBA) published final draft regulatory technical standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR). The final draft RTS have been developed according to Article 277(5) and Article 279a(3) of the Capital Requirements Regulation, as amended by Regulation (EU) 2019/876. Article 277(5) mandates the EBA … Continue Reading

Commission adopts Delegated Regulation on alternative standardised approach for market risk under CRR

On 17 December 2019, the European Commission (Commission) adopted a Delegated Regulation with regard to the alternative standardised approach (ASA) for market risk under the Capital Requirements Regulation (CRR). The Delegated Regulation amends provisions in the CRR to reflect the revised version of the Basel Committee on Banking Supervision’s ‘Minimum capital requirements for market risk’, … Continue Reading

Basel Committee launches consolidated Basel Framework

On 16 December 2019, the Basel Committee on Banking Supervision (Basel Committee) announced that it had launched the consolidated Basel Framework (the framework). The framework brings together all of the Basel Committee’s global standards for the regulation and supervision of banks and presents them on a new section of the Basel Committee website.… Continue Reading

EBA consults to amend standards on benchmarking of internal models

On 13 December 2019, the European Banking Authority (EBA) issued a consultation setting out proposed amendments to Commission Implementing Regulation 2016/2070 as regards benchmarking portfolios, reporting templates and reporting instructions. The main update to Implementing Regulation 2016/2070 relates to the introduction of the IFRS 9 benchmarking templates. Article 78 of the Capital Requirements Directive IV … Continue Reading

ESMA amends CRR standard on main indices and recognised exchanges

On 11 December 2019, the European Securities and Markets Authority (ESMA) issued a final report containing draft amendments to Commission Implementing Regulation (EU) 2016/1646, which specifies the main indices and recognised exchanges pursuant to paragraph 8 of Article 197 of the Capital Requirements Regulation (CRR). ESMA is introducing amendments to the Implementing Regulation to ensure … Continue Reading

OJ – Commission Implementing Regulation amending ITS on closely correlated currencies under CRR

On 9 December 2019, there was published in the Official Journal of the European Union (OJ), Commission Implementing Regulation (EU) 2019/2091 (the Amending Regulation) amending Implementing Regulation (EU) 2015/2197 with regard to closely correlated currencies in accordance with the Capital Requirements Regulation (CRR). The Amending Regulation replaces the text of the Annex to Implementing Regulation … Continue Reading

OJ – Commission Implementing Regulation amending ITS on mapping credit assessments of ECAIs under CRR

On 4 December 2019, there was published in the Official Journal of the EU (OJ), Commission Implementing Regulation (EU) 2019/2028 (the Amending Regulation) amending Commission Implementing Regulation (EU) 2016/1799 containing implementing technical standards (ITS) on the mapping of external credit assessment institutions’ (ECAIs) credit assessments under Articles 136(1) and (3) of the Capital Requirements (CRR). … Continue Reading

Basel Committee guiding principles for operationalisation of sectoral countercyclical capital buffers

On 27 November 2019, the Basel Committee on Banking Supervision (Basel Committee) published guiding principles for the operationalisation of a sectoral countercyclical capital buffer (SCCyB). The Basel III standards introduced a countercyclical capital buffer regime (CCyB), which was phased in from 1 January 2016 and became fully effective on 1 January 2019. National authorities can … Continue Reading

Basel Committee statement on proportionality

On 26 November 2019, the Basel Committee on Banking Supervision (Basel Committee) published a newsletter containing a joint statement with the Basel Consultative Group on the use of proportionality in the implementation of the Basel framework. In the statement, the Basel Committee states that it supports the use of proportionality in implementing the Basel framework … Continue Reading

EBA launches consultation on disclosure and reporting of MREL and TLAC

On 22 November 2019, the European Banking Authority (EBA) issued a consultation paper on a draft implementing technical standard (ITS) on disclosure and reporting of the minimum requirement for own funds and eligible liabilities (MREL) and the total loss absorbency requirement (TLAC). The draft ITS includes proposals for templates and tables implementing the TLAC/MREL Pillar … Continue Reading

ECB update on the targeted review of internal models

On 21 November 2019, the European Central Bank (ECB) provided its third update on the targeted review of internal models (TRIM). The ECB reports that a significant milestone has been reached with the successful conclusion of the last set of on-site investigations for the TRIM project. The ECB has also completed its analysis of the … Continue Reading

EBA consults on specific supervisory reporting requirements for market risk

On 21 November 2019, the European Banking Authority (EBA) launched a consultation on draft implementing technical standards (ITS) for specific supervisory reporting requirements for market risk, which are the first elements of the Fundamental Review of the Trading Book (FRTB) introduced by the revised Capital Requirements Regulation (CRR2). The draft ITS are accompanied by three … Continue Reading

EBA roadmap on risk reduction measures package

On 21 November 2019, the European Banking Authority (EBA) published a set of roadmaps outlining its approach and timelines for delivering the mandates stemming from the risk reduction measures package adopted by the Council of the EU and the European Parliament on 20 May 2019. The risk reduction package allocates over 100 new mandates to … Continue Reading

BCBS consults on voluntary disclosure of sovereign exposures

On 14 November 2019, the Basel Committee on Banking Supervision published a consultative document on voluntary disclosure templates related to banks’ sovereign exposures. The templates break down a bank’s sovereign exposures by country, currency and accounting treatment. The templates build upon the contents of the Basel Committee’s December 2017 discussion paper on the regulatory treatment … Continue Reading

BCBS consults on revisions to market risk disclosure requirements

On 14 November 2019, the Basel Committee on Banking Supervision published a consultative document setting out proposed revisions to the Pillar 3 templates for the revised market risk framework to reflect the changes introduced in the January 2019 minimum capital requirements for market risk. Among other things the Basel Committee consults on the introduction of … Continue Reading

European Commission hosts conference on Basel III implementation

On Tuesday, 12 November 2019, the European Commission hosted a conference titled Implementing Basel III: Challenges and impact. The event was held in the context of the ongoing Commission consultation on Basel III implementation (see our earlier post here). The opening remarks were delivered by Valdis Dombrovskis, the Commission’s Vice-President for the Euro and Social … Continue Reading

EBA revised materials for EU-wide stress test 2020

On 7 November 2019, the European Banking Authority (EBA) published the final methodology and draft templates for its 2020 EU-wide stress test along with key milestones of the exercise. The objective of the stress test is to provide EU supervisors, banks and other market participants with a common analytical framework to consistently compare and assess … Continue Reading

Commission consultation on the alternative standardised approach for market risk

  On 21 October 2019, the European Commission issued a consultation document on the alternative standardised approach for market risk. The Basel Committee on Banking Supervision’s fundamental review of the trading book resulted in the publication of a new framework for market risk in January 2016. In December 2017, the Group of Central Bank Governors … Continue Reading

EBA consults on draft ITS on public disclosures by institutions under the CRR

On 16 October 2019, the European Banking Authority (EBA) issued a consultation paper containing draft Implementing Technical Standards (ITS) on public disclosures by institutions of the information referred to in Titles II and III of Part Eight of the Capital Requirements Regulation (CRR). Regulation 2019/876 (CRR2) amending the CRR mandates the EBA, in Article 434a, … Continue Reading

European Commission launches public consultation on the implementation of the final Basel III reform in the EU

On 11 October 2019, the European Commission launched a public consultation on the implementation in the European Union of the December 2017 Basel Committee on Banking Supervision (BCBS) standard (Basel III: Finalising post-crisis reforms). The consultation document addresses the key elements of the BCBS standard, including revisions to the Basel III standards on credit risk, … Continue Reading
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