United Kingdom

Topic: Capital adequacy

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The RT Plus UK IFPR Series continues with podcasts on committees and ICARA

The RT Plus IFPR Series continues with two further episodes available to stream and download. In this bite-sized series, each episode features a quick run through the issues pertaining to some of the key headlines of the new prudential regime for investment firms in the UK. In these two latest episodes, Compliance Manager, Victoria Pridmore, … Continue Reading

Policy Statement 28/21 ‘Remuneration: Identification of material risk takers’

On 17 December the PRA published Policy Statement 28/21 ‘Remuneration: Identification of material risk takers’ (PS28/21). In PS28/21 the PRA provides feedback to responses to Consultation Paper 18/21 ‘Remuneration: Identification of material risk takers’. It also contains the PRA’s final policy, as follows: Amendments to the Remuneration Part of the PRA Rulebook, in relation to … Continue Reading

PRA Feedback Statement 1/21: Responses to DP1/21 ‘A strong and simple prudential framework for non-systemic banks and building societies’

On 15 December 2021, the PRA published Feedback Statement 1/21: Responses to DP1/21 ‘A strong and simple prudential framework for non-systemic banks and building societies’ (FS1/21). Earlier this year, the PRA published Discussion Paper 1/21 ‘A strong and simple prudential framework for non-systemic banks and building societies’ (DP1/21). In DP1/21 the PRA set out a … Continue Reading

PRA statement on returning to setting Pillar 2A requirements as Risk Weighted Asset percentage

On 8 December 2021, the PRA issued a statement providing an update on its approach to Pillar 2A requirements. The statement is relevant to UK banks, building societies, and PRA-designated investment firms, as well as UK financial holding companies and UK mixed financial holding companies of certain PRA-authorised firms. In the statement the PRA refers … Continue Reading

BoE’s review of its approach to setting MREL – Policy Statement

On 3 December 2021, the Bank of England (BoE) issued a Policy Statement ‘The Bank of England’s review of its approach to setting a minimum requirement for own funds and eligible liabilities’. The Policy Statement follows a consultation that the BoE conducted earlier this year which reviewed its approach to setting a minimum requirement for … Continue Reading

PS21/17 ‘A new UK prudential regime for MiFID investment firms’

On 26 November 2021, the FCA published Policy Statement 21/17 ‘A new UK prudential regime for MiFID investment firms’ (PS21/17). PS21/17 is the third in a series of Policy Statements on the UK Investment Firm Prudential Regime (IFPR). In PS21/17 the FCA summarises the feedback it received to Consultation Paper 21/26 ‘A new UK prudential … Continue Reading

EBA publishes draft RTS on the calculation of risk-weighted exposure amounts of CIUs

On 25 November 2021, the European Banking Authority (EBA) published a final report setting out draft regulatory technical standards (RTS) that specify the methodology to apply to calculate the risk-weighted exposure amounts of collective investment undertakings (CIUs), in the context of the mandate-based approach when there are some missing inputs. The draft RTS have been … Continue Reading

FCA releases additional MIFIDPRU application forms under the IFPR

On 19 November 2021, the FCA published the following MIFIDPRU application forms under the IFPR: Application under MIFIDPRU 2.3.1R to be exempt from disclosure requirements in MIFIDPRU 8 (Disclosure by investment firms) for SNI firms in consolidated insurance groups Application under MIFIDPRU 3.3.2R for permission to include interim or year-end profits as common equity tier … Continue Reading

Amendments to Implementing Regulation (EU) 2016/2070 on benchmarking of internal models under CRD IV

On 19 November 2021, there was published in the Official Journal of the EU, Commission Implementing Regulation (EU) 2021/1971 amending Implementing Regulation (EU) 2016/2070 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and competent authorities under Article 78(2) of the CRD … Continue Reading

EBA consults on draft RTS on Pillar 2 add-ons for investment firms

On 18 November 2021, the European Banking Authority (EBA) and the European Securities and Markets Authority (ESMA) issued a public consultation on draft guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP). The draft guidelines have been developed on the basis of Article 45(2) of the Investment Firms Directive (IFD), … Continue Reading

Amendments to Implementing Regulation (EU) 2016/1799

Commission Implementing Regulation (EU) 2016/1799 specifies, in its Annex III, the correspondence between the relevant credit assessments issued by an external credit assessment institution (‘ECAI’) and the credit quality steps set out in Section 2 of Chapter 2 of Title II of Part Three of the Capital Requirements Regulation (CRR). On 17 November 2021, there … Continue Reading

PRA Policy Statement 26/21: Domestic Liquidity Sub-Groups

On 15 November 2021, the PRA issued Policy Statement 26/21: Domestic Liquidity Sub-Groups (PS26/21). In PS26/21 the PRA provides feedback to the responses it received to Consultation Paper 19/21: Domestic Liquidity Sub-Groups. It also sets out its final policy in the form of amendments to the: Glossary, Liquidity (CRR), and Internal Liquidity Adequacy Assessment Parts … Continue Reading

EBA discussion paper on machine learning for IRB models

On 11 November 2021, the European Banking Authority (EBA) published a discussion paper on machine learning for internal ratings-based (IRB) models.  The discussion paper is a first step to engage the industry and the supervisory community to investigate the possible use of machine learning as IRB models and to build up a common understanding of … Continue Reading

RT Plus episode on commodities firms under the UK IFPR regime – out now

The latest episode of RT Plus is out now to stream and download. This episode continues our UK IFPR Series and focusses on the requirements imposed upon commodities firms. In this episode of RT Plus, Jonathan Herbst, Hannah Meakin and Jochen Vester discuss the application of the IFPR regime to commodities firms at a macro … Continue Reading

G-SIB assessment methodology review process – technical amendment finalisation

On 9 November 2021, the Basel Committee on Banking Supervision announced that it had finalised a technical amendment to the Basel Framework which relates to the process used by the Committee to review the Global Systemically Important Bank assessment methodology. The Committee has replaced the prior three year review cycle with a process of ongoing … Continue Reading

EBA consults on draft technical standards on Initial Margin Model Validation under EMIR

On 4 November 2021, the European Banking Authority (EBA) issued a consultation paper containing draft Regulatory Technical Standards (RTS) on Initial Margin Model Validation (IMMV) under the European Markets Infrastructure Regulation (EMIR). The consultation paper sets out the supervisory procedures for initial and ongoing validation of initial margin models, which will be used to determine … Continue Reading

EBA publishes final draft technical standards specifying how to identify the appropriate risk weights and conditions when assessing minimum LGD values for exposures secured by immovable property

On 5 November 2021, the European Banking Authority (EBA) published its final draft Regulatory Technical Standards (RTS) specifying the types of factors and conditions to be considered for the assessment of the appropriateness of risk weights and of minimum loss given default (LGD) values. These final draft RTS will support relevant authorities across EU Member … Continue Reading

Delegated Regulation on RTS on assessment methodology for IRB approach under CRR

On 20 October 2021, the European Commission adopted a Delegated Regulation containing regulatory technical standards (RTS) for the specification of the assessment methodology competent authorities are to follow when assessing the compliance of credit institutions with the requirements to use the Internal Ratings Based (IRB) Approach. Under the Capital Requirements Regulation (CRR), credit institutions are … Continue Reading

European Commission adopts Delegated Regulation amending RTS on passporting notifications under CRD IV

On 20 October 2021, the European Commission adopted a Delegated Regulation containing amendments to the regulatory technical standards (RTS) in Commission Delegated Regulation 1151/2014 which contains information to be notified when exercising the right of establishment and the freedom to provide services under the CRD IV. The Delegated Regulation introduces amendments to improve the quality … Continue Reading

PRA PS23/21 ‘Credit risk: The identification of the nature, severity, and duration of an economic downturn for the purposes of IRB models’

On 20 October 2021, the PRA published Policy Statement 23/21 ‘Credit risk: The identification of the nature, severity, and duration of an economic downturn for the purposes of Internal Ratings Based models’ (PS23/21). PS23/21 is relevant to UK banks, building societies, and PRA-designated UK investment firms. In PS23/21 the PRA sets out final rules and … Continue Reading

Draft RTS on disclosure of investment policy by investment firms under Article 52 of the IFR

On 19 October 2021, the European Banking Authority (EBA) published draft regulatory technical standards (RTS) on disclosure of investment policy by investment firms. Article 52 of the Investment Firms Regulation (IFR) sets out a requirement for investment firms to disclose information on investment policy, including the following information: Proportion of voting rights attached to shares … Continue Reading

Basel Committee progress report on the adoption of the Basel regulatory framework

On 14 October 2021, the Basel Committee on Banking Supervision (BCBS) issued a progress report on the adoption of the Basel regulatory framework. Basel III was developed by BCBS as an internationally agreed set of measures in response to the global financial crisis of 2007-2009. The measures within the regulatory framework aim to strengthen the … Continue Reading

PRA Policy Statement 22/21: Implementation of Basel standards: Final rules

On 14 October 2021, the Prudential Regulation Authority (PRA) published Policy Statement 22/21 ‘Implementation of Basel standards: Final rules’ (PS22/21). In Policy Statement 17/21 ‘Implementation of the Basel Standards’ (PS17/21), the PRA set out its feedback to responses and the resulting near-final policy following Consultation Paper 5/21 ‘Implementation of Basel standards’ which was published in … Continue Reading

PRA PS21/21: The UK leverage ratio framework

On 8 October 2021, the PRA published Policy Statement 21/21: The UK leverage ratio framework (PS21/21). PS21/21 is relevant to all firms subject to the Capital Requirements Regulation (CRR) and CRR consolidation entities on an individual, consolidated, and where relevant, sub-consolidated basis. In PS21/21 the PRA and Financial Policy Committee (FPC) provide their responses to … Continue Reading
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