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Topic: Capital adequacy

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PRA Consultation Paper 6/22 ‘Model risk management principles for banks’

On 21 June 2022, the Prudential Regulation Authority (PRA) published Consultation Paper 6/22 ‘Model risk management principles for banks’ (CP6/22). In CP6/22 the PRA sets out its proposed expectations regarding bank’s management of model risk. The PRA has developed a proposed set of five principles (see below), which it considers to be key in establishing … Continue Reading

EBA draft principles assessing the representativeness of COVID-19-impacted data for banks using IRB models

On 21 June 2022, the European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19–impacted data for banks, using internal ratings based (IRB) models. These principles will be part of a supervisory handbook, which the EBA will publish later this year, with the objective to ensure a … Continue Reading

Published in OJ: Commission Delegated Regulation (EU) 2022/954 of 12 May 2022 amending the RTS laid down in Delegated Regulation (EU) No 183/2014

On 21 June 2022, there was published in the Official Journal of the EU (OJ), Commission Delegated Regulation (EU) 2022/954 of 12 May 2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) No 183/2014 as regards the specification of the calculation of specific and general credit risk adjustments. The Delegated Regulation adds … Continue Reading

CRR related Delegated Regulations

On 14 June 2022, the European Commission adopted a Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) specifying the criteria for assessing the modellability of risk factors under the internal model approach (IMA) and specifying the frequency of that assessment under Article 325be(3) of that Regulation. The draft … Continue Reading

PRA statement on removing the PRA buffer adjustment in PS15/2

On 13 June 2022, the PRA issued a statement on its website regarding the temporary adjustment to the PRA buffer that began in July 2020 during the COVID-19 pandemic. In July 2020 the PRA published Policy Statement 15/20 ‘Pillar 2A: Reconciling capital requirements and macroprudential buffers’ (PS15/20) in which it temporarily increased the PRA buffer … Continue Reading

Commission Delegated Regulation supplementing the CRD IV with regard to RTS specifying the information to be provided by an undertaking in the application for authorisation

On 10 June 2022, the European Commission adopted a Delegated Regulation supplementing the CRD IV with regard to regulatory technical standards (RTS) specifying the information to be provided by an undertaking in the application for authorisation in accordance with Article 8a of that Directive. The Council of the EU and the European Parliament will now … Continue Reading

EBA consults on technical standards on the identification of a group of connected clients

On 8 June 2022, the European Banking Authority (EBA) launched a public consultation on draft regulatory technical standards (RTS) on the identification of a group of connected clients (GCC). The definition of group of connected clients in the CRR provides for the identification of two or more natural or legal persons who are so closely … Continue Reading

European Parliament draft reports

On 30 May 2022, the European Parliament published draft reports on: The proposal for a Regulation amending the Capital Requirements Regulation as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor. The proposal for a Directive amending the Capital Requirements Directive IV as regards supervisory powers, sanctions, … Continue Reading

Basel Committee finalises principals on climate-related financial risks and progresses work on specifying crypto-assets’ prudential treatment

On 27 May 2022, the Basel Committee met and approved a finalised set of principles for the effective management and supervision of climate-related financial risks. The Committee also progressed work on specifying crypto-asset prudential treatment and issuing a second consultation paper. Additionally, the Committee finalised the review of the treatment of cross-border exposures within the … Continue Reading

EBA final draft RTS to identify shadow banking entities

On 23 May 2022, the European Banking Authority (EBA) published a final report containing draft regulatory technical standards (RTS), specifying the criteria to identify shadow banking entities for the purposes of reporting large exposures. The final draft RTS, which have been prepared in accordance with Article 394(4) of the Capital Requirements Regulation (CRR),  clarify that … Continue Reading

Delegated Regulation amending Commission Delegated Regulation 2015/61 supplementing the CRR with regard to the liquidity coverage requirement for credit institutions

On 20 May 2022, there was published in the Official Journal of the EU, Commission Delegated Regulation (EU) 2022/786 of 10 February 2022 amending Commission Delegated Regulation 2015/61 supplementing the Capital Requirements Regulation (CRR) with regard to the liquidity coverage requirement for credit institutions. Commission Delegated Regulation 2015/61 (LCR Delegated Regulation) is applicable to all … Continue Reading

Commission adopts Delegated Regulation amending RTS on the specification of the calculation of specific and general credit risk adjustments

On 12 May 2022, the European Commission adopted a Delegated Regulation amending the regulatory technical standards (RTS) laid down in Delegated Regulation (EU) No 183/2014, as regards the specification of the calculation of specific and general credit risk adjustment. The Delegated Regulation is intended to address an anomaly regarding the sale of defaulted exposures, where … Continue Reading

EBA consults on standardized information requirements to support sales of non-performing loans

On 16 May 2022, the European Banking Authority (EBA) issued a consultation regarding draft implementing technical standards (ITS) specifying the templates to be used by credit institutions for the provision of information to credit purchasers when selling or transferring non-performing loans (NPLs) for the purposes of financial due diligence and valuation of NPLs. The data … Continue Reading

PRA statement on the EBA guidelines relating to the management of non-performing and forborne exposures

On 6 May 2022, the PRA issued a statement concerning its approach to the European Banking Authority’s (EBA) guidelines relating to the management of non-performing exposures (NPEs) and forborne exposures (FBEs). The statement provides that: The prudential aspects of the guidelines broadly represent good credit risk management standards. The guidelines may be helpful reference material … Continue Reading

EBA updates technical standards in view of its 2023 benchmarking of internal approaches

On 5 May 2022, the European Banking Authority (EBA) updated its Implementing Technical Standards (ITS) that specify the data collection for the supervisory benchmarking exercise of 2023 in relation to the internal approaches used in market and credit risk and IFRS 9 accounting. The updated ITS include all benchmarking portfolios and metrics that will be … Continue Reading

EBA launches discussion on the role of environmental risks in the prudential framework

On 3 May 2022, the European Banking Authority (EBA) issued a Discussion Paper on the role of environmental risks in the prudential framework for credit institutions and investment firms. The Discussion Paper initiates the discussion on the appropriateness of the current EU prudential framework to address environmental risk drivers and considers the potential justification for … Continue Reading

PRA CP5/22 ‘The Strong and Simple Framework: a definition of a Simpler-regime Firm’

On 29 April 2022, the PRA published Consultation Paper 5/22 ‘The Strong and Simple Framework: a definition of a Simpler-regime Firm’ (CP5/22). In CP5/22, the PRA sets out proposals for introducing a definition of a ‘Simpler-regime firm’ and follows on from Discussion Paper 1/21. The PRA’s implementation of a definition would be the first step … Continue Reading

EBA proposes to simplify and improve the macro-prudential framework

On 29 April 2022, the European Banking Authority (EBA) issued its response to the European Commission’s call for advice on the review of the macro-prudential framework. Article 513 of the Capital Requirements Regulation (CRR) requires the Commission to complete a review of the macro-prudential provisions in the CRR and Capital Requirements Directive IV (CRD IV) … Continue Reading

FCA IFPR newsletter

On 27 April 2022, the FCA published its latest newsletter on the Investment Firm Prudential Regime (IFPR). In this newsletter the FCA covers reporting queries focussing on: MIF001 MIF002 MIF003 MIF001 to 4 – consolidated returns MIF001 and 002 – certain rows when reporting on a consolidated basis MIF006 scheduling Other scheduling issues. The FCA … Continue Reading

Recommendation of the ESRB amending Recommendation on the assessment of cross-border effects of and voluntary reciprocity for macro-prudential policy measures

On 28 April 2022, there was published in the Official Journal of the EU the Recommendation of the European Systemic Risk Board (ESRB) of 16 February 2022 amending Recommendation ESRB/2015/2 on the assessment of cross-border effects of and voluntary reciprocity for macro-prudential policy measures. The framework on voluntary reciprocity for macro-prudential policy measures set out … Continue Reading

Published in OJ – Delegated Regulation on RTS on methods of prudential consolidation under CRR

On 26 April 2022, there was published in the Official Journal of the EU, Commission Delegated Regulation (EU) 2022/676 of 3 December 2021 supplementing the Capital Requirements Regulation with regard to regulatory technical standards specifying the conditions in accordance with which consolidation is to be carried out in the cases referred to in Article 18(3) … Continue Reading

IFR – RTS for own funds requirement for investment firms based on fixed overheads

On 25 April 2022, the European Commission published the text of Commission Delegated Regulation (EU) of 11 April 2022 supplementing the Investment Firm Regulation with regard to regulatory technical standards (RTS) for own funds requirement for investment firms based on fixed overheads. The draft RTS: Specify the deductions to be applied for the calculation from … Continue Reading
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