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Topic: Capital Adequacy

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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

Published in OJ – Commission Implementing Regulation (EU) 2022/631 of 13 April 2022

On 19 April 2022, there was published in the Official Journal of the EU (OJ) Commission Implementing Regulation (EU) 2022/631 of 13 April 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/637 as regards to the disclosure of exposures to interest rate risk on positions not held in the trading book. … Continue Reading

Corrigendum to Commission Delegated Regulation of 10 February 2022 amending Commission Delegated Regulation (EU) 2015/61

On 12 April 2022, the Council of the EU published a corrigendum to Commission Delegated Regulation of 10 February 2022 amending Commission Delegated Regulation (EU) 2015/61 to supplement the Capital Requirements Regulation with regard to the liquidity coverage requirement for credit institutions. The main purpose of the Delegated Regulation of 10 February 2022 is to … Continue Reading

ECON Committee discusses on CRR III and CRD VI proposals

On 20 April 2022, the European Parliament’s Economic and Monetary Affairs (ECON) Committee held its first exchange of views on the European Commission’s (Commission) legislative package on the implementation of the final Basel III standards. The legislative package includes: A Commission proposal for a Regulation amending the Capital Requirements Regulation (CRR) Regulation (EU) No 575/2013 … Continue Reading

EBA survey for banks on the application of the infrastructure supporting factor

On 5 April 2022, the European Banking Authority (EBA) launched a survey for banks on their experiences with the application of the so-called infrastructure supporting factor in accordance with the Capital Requirements Regulation (CRR 2). The survey also aims to provide information on the materiality of infrastructure project loans across EU banks, irrespective of whether … Continue Reading

Council of the EU: Daisy Chain Regulation – Three-column table to commence trilogues

On 1 April 2022, the Council of the EU published a three-column table to commence trilogues on the proposed Regulation as regards the prudential treatment of global systemically important institution groups (G-SII groups) with multiple point of entry resolution strategy and a methodology for the indirect subscription of instruments eligible for meeting the minimum requirement … Continue Reading

ESRB concept note ‘Review of the EU Macroprudential Framework for the Banking Sector’

On 31 March 2022, the European Systemic Risk Board (ESRB) published a concept note ‘Review of the EU Macroprudential Framework for the Banking Sector’. In the concept note the ESRB proposes enhancements to the existing EU macroprudential framework for the banking sector for the next decade. Table 1 in the concept note provides an overview … Continue Reading

ECB opinion on a proposal for amendments to the CRR as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor

On 24 March 2022, the European Central Bank (ECB) published an opinion on a proposal for a Regulation amending the Capital Requirements Regulation (CRR) as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor. The ECB has published this opinion following requests from the European Parliament and … Continue Reading

Commission adopts amendments to ITS specifying main indices and recognised exchanges under CRR

On 24 March 2022, the European Commission published the adopted text of an Implementing Regulation which amends the implementing technical standards laid down in Implementing Regulation (EU) 2016/1646 as regards the main indices and recognised exchanges in accordance with the Capital Requirements Regulation (CRR). The Implementing Regulation adopted by the Commission amends Commission Implementing Regulation … Continue Reading

Regulation Around the World focusing on horizon scanning – out now

What’s on the regulatory horizon for financial services firms? In the latest instalment of our Regulation Around the World series we focus on horizon scanning with members of our global financial services team exploring some of the key upcoming regulatory trends. Our global updater focussing on horizon scanning is accompanied by further analysis in our … Continue Reading

EBA publishes final draft RTS on default probabilities and loss given default for default risk model under the internal approach for market risk

On 21 March 2022, the European Banking Authority (EBA) published a final report containing draft regulatory technical standards (RTS) on requirements that an internal methodology or external sources used under the internal default risk model are to fulfil for estimating probabilities of default (PDs) and losses given default (LGDs) under Article 325bp(12) of the Capital … Continue Reading

Delegated Regulation on RTS on assessment methodology for IRB approach under CRR published in OJ

On 18 March 2022, there was published in the Official Journal of the EU (OJ), Commission Delegated Regulation (EU) 2022/439 of 20 October 2021 supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) for the specification of the assessment methodology competent authorities are to follow when assessing the compliance of credit … Continue Reading

Published in OJ – Commission Implementing Regulation 2022/389 supplementing the IFD

On 9 March 2022, there was published in the Official Journal of the EU (OJ), Commission Implementing Regulation 2022/389 of 8 March 2022 laying down implementing technical standards for the application of the Investment Firms Directive with regard to the format, structure, content lists and annual publication date of the information to be disclosed by … Continue Reading

Delegated Regulation supplementing the CRR with regard to regulatory technical standards on liquidity horizons for the alternative internal model approach

On 28 February 2022, the European Commission adopted a Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) on liquidity horizons for the alternative internal model approach, as referred to in Article 325bd(7). In accordance with Article 325bd of the CRR, the Commission Delegated Regulation establishes, for the purpose … Continue Reading

Published in OJ – Delegated Regulation setting out RTS on K-factor clear margin given calculation under IFR

On 22 February 2022, there was published in the Official Journal of the EU (OJ), Commission Delegated Regulation (EU) 2022/244 of 24 September 2021 setting out regulatory technical standards (RTS) that specify the calculation of the amount of the total margin required for the calculation of the K-factor ‘clearing margin given’ (K-CMG) and the criteria … Continue Reading

EBA publishes annual assessment of banks’ internal approaches for the calculation of capital requirements

On 22 February 2022, the European Banking Authority (EBA) published its reports on the annual market and credit risk benchmarking exercises. These exercises monitor the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. They contribute to the work the EBA is conducting … Continue Reading

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

On 18 February 2022, the European Commission adopted a Delegated Regulation amending Commission Delegated Regulation 2015/61 supplementing the Capital Requirements Regulation (CRR) with regard to liquidity coverage requirement for credit institutions. Commission Delegated Regulation 2015/61 (LCR Delegated Regulation) is applicable to all EU credit institutions, including those issuing covered bonds. Such credit institutions are currently … Continue Reading

EBA opinion on Commission’s amendments to the draft RTS for own funds requirements for investment firms based on fixed overheads in line with Article 13(4) IFR

On 11 February 2022, the European Banking Authority (EBA) published an opinion on the amendments proposed by the European Commission as regards the EBA final draft regulatory technical standards (RTS) specifying the methodology for calculating the fixed overheads requirements for investment firms in the context of the implementation of the Investment Firms Regulation (IFR). Despite … Continue Reading

ECB state they will not extend capital and leverage relief for banks

On 10 February 2022, the European Central Bank (ECB) published a press release stating that they will not extend capital and leverage relief for banks. The ECB sees no need to allow banks to operate below the level of capital defined by their Pillar 2 guidance beyond December 2022. Banks are also being asked to … Continue Reading

EBA publishes technical standards listing advanced economy countries for market risk own funds requirements

On 2 February 2022, the European Banking Authority (EBA) published final draft Regulatory Technical Standards (RTS) on the list of countries with an advanced economy for calculating the equity risk under the alternative standardised approach. The draft RTS form part of the EBA roadmap for the new market and counterparty credit risk approaches. The draft … Continue Reading

Draft amending ITS on currencies with constraints on the availability of liquid assets in accordance with the CRR

Article 419 of the Capital Requirements Regulation (CRR) relates to currencies with constraints on the availability of liquid assets for the purpose of calculating the liquidity coverage ratio (LCR). This article has been amended as part of the RMM package (Regulation (EU) 2019/876 of 20 May 2019) to introduce an additional derogation for the currencies … Continue Reading

IFR Delegated Regulation setting out RTS specifying adjustments to the K-factor ‘daily trading flow’ coefficients

On 20 January 2022, there was published in the Official Journal of the EU, Commission Delegated Regulation 2022/76 of 22 September 2021 supplementing the Investment Firms Regulation (IFR) with regard to regulatory technical standards (RTS) specifying adjustments to the K-factor ‘daily trading flow’ coefficients. The RTS reflect a mandate under Article 15(5)(c) of the IFR. … Continue Reading
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