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Topic: Capital adequacy

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Basel Committee meeting discusses the challenges ahead

On 29 November 2018, the Basel Committee on Banking Supervision (Basel Committee) issued a press release following its meeting on 26 – 27 November 2018. At this meeting the Basel Committee: agreed to a set of targeted revisions to the market risk framework which will enhance the risk sensitivity of the standardised approach, revise the … Continue Reading

EBA provides overview of Member State competent authorities implementation and transposition of the CRD IV

On 30 November 2018, the European Banking Authority EBA published an updated overview of Member States implementation and transposition of the CRD IV and CRR. It also provides a detailed picture of the use of options and national discretions by each Member State competent authority as well as information on the general criteria and methodologies … Continue Reading

ECB Regulation on materiality threshold for credit obligations past due

On 26 November 2018, there was published in the Official Journal of the EU, Regulation (EU) 2018/1845 of the European Central Bank (ECB) of 21 November 2018 on the exercise of the discretion under Article 178(2)(d) of the Capital Requirements Regulation in relation to the threshold for assessing the materiality of credit obligations past due. … Continue Reading

ECB finalises guides on ICAAP and ILAAP

On 12 November 2018, the European Central Bank (ECB) published its expectations regarding institutions’ internal capital and liquidity adequacy assessment processes. Two guides were published: ECB guide to the internal capital adequacy assessment process (ICAAP); and ECB guide to the internal liquidity adequacy assessment process (ILAAP). The purpose of both guides are to provide transparency … Continue Reading

Commission Implementing Regulation as regards prudent valuation for supervisory reporting

On 9 November 2018, there was published in the Official Journal of the EU (OJ), Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No. 680/2014 as regards prudent valuation for supervisory reporting. Commission Implementing Regulation (EU) No. 680/2014 specifies the modalities according to which institutions are required to report information … Continue Reading

EBA final guidance on management of non-performing and forborne exposures

On 31 October 2018, the European Banking Authority (EBA) published final guidelines on management of non-performing and forborne exposures. The guidelines are intended to ensure that EU credit institutions have adequate prudential tools and frameworks in place to manage effectively their non-performing exposures (NPEs) and to achieve a sustainable reduction on their balance sheets. The … Continue Reading

Delegated Regulation amending Commission Delegated Regulation on LCR published in OJ

On 30 October 2018, there was published in the Official Journal of the European Union (OJ) Commission Delegated Regulation (EU) 2018/1620 of 13 July 2018 amending Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to the liquidity coverage requirement for credit institutions. The Delegated … Continue Reading

ESA joint committee consultation on amending ITS on mapping credit assessments of ECAIs under CRR

On 26 October 2018, the Joint Committee of the European Supervisory Authorities (the Committee) comprised of ESMA, the EBA and EIOPA, published a consultation paper (the Consultation) on the draft  implementing technical standards (ITS) amending the implementing regulation (the Implementing Regulation) on the mapping of external credit assessment institutions (ECAI) under the Capital Requirements Regulation … Continue Reading

Regulation amending CRR Implementing Regulation published in OJ

On 22 October 2018, there was published in the Official Journal of the European Union (OJ) Commission implementing regulation (EU) 2018/1580 of 19 October 2018 amending Implementing Regulation (EU) 2015/2197 laying down implementing technical standards with regard to closely correlated currencies in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the … Continue Reading

Statement on leverage ratio window-dressing behaviour

On 18 October 2018, the Basel Committee on Banking Supervision (Basel Committee) issued a statement on ‘leverage ratio window-dressing behaviour’. This is a form of temporary reductions of transaction volumes in key financial markets around reference dates resulting in the reporting and public disclosure of elevated leverage ratios. The Basel Committee states that window dressing … Continue Reading

Leverage ratio treatment of client cleared derivatives

On 18 October 2018, the Basel Committee on Banking Supervision (Basel Committee) issued a consultative document seeking views on whether a targeted and limited revision of the leverage ratio’s treatment of client cleared derivatives may be warranted. The leverage ratio complements the risk-based capital requirements by providing a safeguard against levels of leverage and by … Continue Reading

Basel Committee issues stress testing principles

On 17 October 2018, the Basel Committee on Banking Supervision (Basel Committee) published stress testing principles that replace the 2009 Principles for sound stress testing practices and supervision. The principles are guidelines that focus on the core elements of stress testing frameworks. These include the objectives, governance, policies, processes, methodology, resources and documentation that guide … Continue Reading

EBA report on liquidity measures under the CRR

On 4 October 2018, the European Banking Authority (EBA) published a report on liquidity measures under Article 509(1) of the Capital Requirements Regulation (CRR). As part of its mandate under the CRR, the EBA monitors and evaluates the liquidity coverage requirements on an annual basis. In this regard, the EBA takes into account the potential … Continue Reading

Basel III monitoring exercise as of 31 December 2017

On 4 October 2018, the European Banking Authority (EBA) published a report that presents the estimated impact of the Basel reform package on European banks as agreed in December 2017 by the Group of Central Bank Governors and Heads of Supervision. The assessment of the final package includes the revisions to the internal ratings-based (IRB) … Continue Reading

PRA Q&As on Pillar 2 regulatory reporting (PRA110)

On 28 September 2018, the PRA published version 1 of its Q&As on PRA110 reporting template and instructions. The Q&As are a response to a number of questions from firms on template and reporting instructions stemming from the publication of the final PRA110 template and associated reporting instructions in Policy Statement 2/18: Pillar 2 liquidity. … Continue Reading

ECON reports on revised EU framework for investment firms

On 28 September 2018, the European Parliament’s Committee on Economic and Monetary Affairs (ECON) published two reports concerning the legislative package on the prudential regulation of investment firms: report on the proposal for a Regulation of the European Parliament and of the Council on the prudential requirements of investment firms and amending Regulations (EU) No … Continue Reading

PRA consultation on regulatory reporting requirements to reflect EBA’s proposed changes to ITS on supervisory reporting

On 12 September 2018, the PRA published  Consultation Paper 19/18: Regulatory reporting: European Banking Authority Taxonomy 2.9 (CP19/18). In CP19/18 the PRA sets out proposals to update certain PRA reporting requirements to reflect relevant proposals made by the European Banking Authority (EBA) in its consultations on changes to the Implementing Technical Standards on Supervisory Reporting. … Continue Reading

Consultation on draft risk-type specific chapters for ECB guide to internal models

On 7 September 2018, the European Central Bank (ECB) published a draft version of the risk-type-specific chapters for the ECB guide to internal models (the Guide) for consultation. The CRR permits credit institutions to use internal models for risk when the requirements set out in the corresponding chapters of the CRR are met.  The Guide … Continue Reading

EBA consults on amendments to CRR supervisory reporting ITS

On 28 August 2018, the European Banking Authority (EBA) published three consultation papers concerning Implementing Technical Standards (ITS) on supervisory reporting by firms subject to the Capital Requirements Regulation (CRR). Consultation paper on draft ITS amending Implementing Regulation (EU) 2016/322 with regard to LCR for liquidity reporting (Paper 1). On 13 July 2018 the European … Continue Reading

PRA Consultation Paper 17/18: Credit risk and the definition of default

On 27 July 2018, the PRA published Consultation Paper 17/18: the definition of default (CP17/18). In CP17/18 the PRA proposes to update its expectations in Supervisory Statement 11/13: Internal Ratings Based approaches to implement the European Banking Authority’s (EBA) regulatory products that relate to the definition of default. The PRA also proposes to amend the … Continue Reading

Final EBA guidance on Pillar 2 framework

On 19 July 2018, the European Banking Authority (EBA) published the following documents: final report on the guidelines on the revised common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing; revised final guidelines on the management of interest rate risk arising from non-trading activities; and revised final guidelines … Continue Reading

ESMA consults on changes to tick size regime under MiFID II

On 13 July 2018, the European Securities and Markets Authority (ESMA) published a consultation paper on amendments to Commission Delegated Regulation (EU) 2017/588 (RTS 11). Under RTS 11, the minimum tick size applicable to shares and depositary receipts is calibrated to the average daily number of transactions on the most liquid market in the EU. … Continue Reading

Commission adopts legislation amending Commission Delegated Regulation on LCR

On 13 July 2018, the European Commission published a Delegated Regulation amending Delegated Regulation (EU) 2015/61 supplementing the Capital Requirements Regulation with regard to the liquidity coverage requirement for credit institutions (the Delegated Regulation). Commission Delegated Regulation (EU) 2015/61 (the LCR Delegated Regulation) entered into force on 1 October 2015 and specifies which assets are … Continue Reading
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