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Topic: Capital Adequacy

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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

EBA publishes the regular Basel III capital monitoring report and an update on the compliance of EU banks with liquidity measures

On 2 October 2019, the European Banking Authority (EBA) published two reports that monitor the impact of implementing the final Basel III reforms and the current implementation of liquidity measures in the EU. The latest EBA Basel III capital monitoring report provides an assessment of the impact of the full implementation of the final Basel … Continue Reading

EBA to clarify prudential treatment applicable to own funds instruments at the end 2021

On 9 September 2019, the European Banking Authority (EBA) announced that it intends to provide clarity on the appropriate treatment of legacy instruments at the end of 2021. When the Capital Requirements Regulation (CRR) entered into force, grandfathering provisions were introduced to ensure that institutions had sufficient time to meet the requirements set out by … Continue Reading

ECB communication on supervisory coverage expectations for NPEs

On 22 August 2019, the European Central Bank (ECB) issued a communication on supervisory expectations for non-performing exposures (NPEs). The communication begins by stating that addressing non-performing loans (NPLs) has been one of the key priorities for ECB Banking Supervision since its inception. The overall objective of developing the supervisory approach to NPLs is to … Continue Reading

EBA issues advice on Basel III implementation

On 5 August 2019, the European Banking Authority (EBA) published its report to the European Commission, following an earlier call for advice in May 2018, on the assessment of the implementation of Basel III in the EU. The advice presents the findings of the EBA’s quantitative impact assessment analysis based on data from 189 banks … Continue Reading

EBA adds CRR II, CRD V, BRRD II to single rulebook Q&A tool

On 5 August 2019, the European Banking Authority (EBA) updated its Interactive Single Rulebook and Q&A tool on the Capital Requirements Regulation II (CRR II), Capital Requirements Directive V (CRD V) and Bank Recovery and Resolution Directive II (BRRD II). The update allows users to review all the EBA’s final technical standards and guidelines associated … Continue Reading

Commission letter to EBA on elements of Basel III framework

On 2 August 2019, the European Banking Authority (EBA) published a letter (dated 15 July 2019) it had received from the European Commission concerning its preparatory work for the implementation of the Basel III reforms. The Commission notes that the EBA is currently finalising its advice on the Basel III reforms in the area of … Continue Reading

EBA consults on draft guidelines on weighted average maturity of contractual payments

On 31 July 2019, the European Banking Authority (EBA) published a consultation paper proposing draft guidelines on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitisation transaction. The framework under the Capital Requirements Regulation (CRR) for securitisations has introduced a tranche maturity as an additional … Continue Reading

EBA updates on monitoring of CET1 capital instruments

On 22 July 2019, the European Banking Authority (EBA) published an updated list of Common Equity Tier 1 (CET1) instruments of EU institutions. The list is accompanied by an updated CET1 report, which includes information on the underlying objectives of the monitoring as well as on the consequences of including or excluding instruments in or … Continue Reading

EBA update on ITS package for 2020 benchmarking exercise

On 16 July 2019, the European Banking Authority (EBA) published an update to its implementing technical standards (ITS) on benchmarking of internal approaches to reflect comments received following an earlier consultation in December 2018 (see previous blog post). The ITS include all benchmarking portfolios that will be used for the 2020 benchmarking exercise. A zip … Continue Reading

EBA report on the monitoring of the LCR implementation in the EU

On 12 July 2019, the European Banking Authority (EBA) published its first report on the monitoring of liquidity coverage ratio (LCR) implementation in the EU. The EBA’s monitoring of the LCR contributes to a consistent application of EU law and promotes common supervisory approaches and practices in this area. In the report, the EBA has … Continue Reading
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