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Topic: Capital adequacy

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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

PRA reviews capital regime of credit unions

On 24 October 2019, the PRA published Consultation Paper 28/19: Credit unions – review of the capital regime (CP28/19). In CP28/19 the FCA sets out proposed changes to the capital requirements that apply to credit unions by amending the following documents: The Credit Union Part of the PRA Rulebook; and Supervisory Statement 2/16: The prudential … 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

PRA consults on its approach to supervising liquidity and funding risks

On 17 October 2019, the PRA published Consultation Paper: Liquidity: The PRA’s approach to supervising liquidity and funding risks (CP27/19). In CP27/19 the PRA sets out its proposals to update its supervisory statement on supervising liquidity and finding risk (SS24/15) to: reflect updates to the Bank of England’s (BoE’s) Market Operations Guide which was published … 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

EBA consults on guidelines on the application of structural FX under CRR

On 16 October 2019, the European Banking Authority (EBA) launched a consultation on draft guidelines on the application of the structural FX provision under Article 352(2) of the Capital Requirements Regulation (CRR). Article 352(2) allows Member State competent authorities (NCAs) to authorise, on an ad hoc basis, the exclusion of FX risk positions deliberately taken … Continue Reading

EBA consults on draft ITS on supervisory reporting under CRR

On 16 October 2019, the European Banking Authority (EBA) launched a consultation on new implementing technical standards (ITS) on supervisory reporting requirements for financial institutions governed by the Capital Requirements Regulation (CRR). The new ITS reflect a mandate given to the EBA under Article 430 of CRR which aims to: reflect amendments to the CRR … Continue Reading

BCBS progress report on implementation of Basel III

On 16 October 2019, the Basel Committee on Banking Supervision (Basel Committee) published its seventeenth progress report on the adoption of the Basel III regulatory framework. The updated progress report provides a high-level view of Basel Committee members’ progress in adopting Basel III standards as of end-September 2019. The report is based on information provided … Continue Reading

PRA Policy Statement 24/19: Large exposures – reciprocation of French measure

On 15 October 2019, the PRA published Policy Statement 24/19: Large exposures – reciprocation of French measure (PS24/19). In PS24/19 the PRA sets out its final rule following Consultation Paper 15/19: Large exposures – reciprocation of French measure (our blog is here). In this consultation the PRA proposed to apply a tighter limit for large … 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

Regulatory capital instruments: update to Pre-Issuance Notification requirements

On 9 September 2019, the PRA issued Consultation Paper 20/19: Regulatory capital instruments – update to pre-issuance notification requirements (CP20/19). In CP20/19 the PRA sets out proposals to amend the Pre-Issuance Notification (PIN) regime applicable to PRA-authorised Capital Requirements Regulation (CRR) firms. Appendix 1 of CP20/19 contains proposed amendments to the PIN regime as set … Continue Reading
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