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Topic: Capital adequacy

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EBA publishes guidelines on treatment of public and private moratoria in light of COVID-19 measure

On 2 April 2020, the European Banking Authority (EBA) published guidelines that clarify certain aspects in relation to the use of public and private payment moratoria referred to in its statement of 25 March 2020. The guidelines clarify which legislative and non-legislative moratoria do not trigger forbearance classification, while in all other cases the assessment … Continue Reading

Implementing Regulation amending ITS on supervisory reporting under CRR

On 30 March 2020, there was published in the Official Journal of the EU (OJ) Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council. … Continue Reading

EBA final draft RTS on key areas for implementing FRTB

On 27 March 2020, the European Banking Authority (EBA) published final draft regulatory technical standards (RTS) on the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). These final draft RTS have been developed according to Articles 325bd(7), 325be(3), 325bf(9), 325bg(4) of the Capital Requirements Regulation as amended by the … Continue Reading

Basel Committee announces deferral of Basel III implementation

On 27 March 2020, the Basel Committee on Banking Supervision (Basel Committee) announced the following changes to its implementation timeline of the outstanding Basel III standards: implementation date of the Basel III standards finalised in December 2017 has been deferred by one year to 1 January 2023. The accompanying transitional arrangements for the output floor … Continue Reading

EBA opinion on treatment of credit insurance in implementation of final Basel III standards

On 10 March 2020, the European Banking Authority (EBA) published an opinion on the treatment of credit insurance in the prudential framework. In the opinion the EBA calls for the implementation of the final Basel III framework as agreed by the Basel Committee on Banking Supervision. The opinion follows extensive feedback given in previous public … Continue Reading

Submission of additional analysis for the Call for Advice for the purposes of revising the own fund requirements for credit, operational, market and credit valuation adjustment risk

On 2 March 2020, the European Banking Authority (EBA) published a letter (dated 25 February 2020) to John Berrigan (Acting Director General, Directorate-General Financial Stability, Services and Capital Markets Union) concerning the Commission Services’ Call for Advice on the impact and implementation in the EU of the final Basel III standards. On 15 July 2019, … Continue Reading

EBA notes enhanced consistency on institutions’ Pillar 3 disclosures but calls for improvements to reinforce market discipline

On 2 March 2020, the European Banking Authority (EBA) published a report assessing institutions’ Pillar 3 disclosures. The report aims to identify best practices and potential areas for improvement. The EBA assessment covers 12 systemically important credit institutions. It is based on the end -2018 disclosure reference date, with some extended and partial assessment of … Continue Reading

SRB launches public consultation on changes to its MREL policy under the 2019 Banking Package

On 17 February 2020, the Single Resolution Board (SRB) issued a public consultation on proposed changes to its policy on the minimum requirement for own funds and eligible liabilities (MREL). The consultation consists of various questions relating to: MREL requirements for global systemically important institutions; changes to the calibration of MREL, including introducing MREL based … Continue Reading

Commission adopts Implementing Decision on amending supervisory reporting of institutions under CRR

On 14 February 2020, the European Commission adopted an Implementing Regulation that amends Implementing Regulation (EU) No 680/2014 laying down implementing technical standards (ITS)  with regard to supervisory reporting of institutions according to the Capital Requirements Regulation, together with related annexes. The Implementing Regulation makes certain changes to supervisory reporting requirements concerning: Common reporting (COREP) … Continue Reading

EBA consults on guidelines on appropriate subsets of sectoral exposures in the application of the systemic risk buffer

On 12 February 2020, the European Banking Authority (EBA) launched a consultation on draft guidelines on the appropriate subsets of sectoral exposures to which competent or designated authorities may apply a systemic risk buffer (SyRB) in accordance with the Capital Requirements Directive V (CRD). The EBA is mandated under Article 133(6) of the CRD V … Continue Reading

New briefing note available – IFR/IFD: Remuneration requirements for EU investment firms

Our latest briefing note concerning the remuneration requirements for EU investment firms under the Investment Firms Regulation and Investment Firms Directive is now available here.… Continue Reading

Second ECB consultation on guide on assessment methodology for IMM and A-CVA

On 5 February 2020, the European Central Bank (ECB) published a consultation paper on a draft guide on the assessment methodology for the internal model method (IMM) and the advanced method for credit valuation adjustment risk (A-CVA) charge for counterparty credit risk (CCR). The draft guide indicates how the ECB intends to assess internal models … Continue Reading

EBA launches 2020 EU-wide stress test

On 3 February 2020, the European Banking Authority (EBA) launched its 2020 EU-wide stress test and released the macro-economic scenarios for this year’s test. The adverse scenario follows for the first time a ‘lower for longer’ narrative, a recession coupled with low or negative interest rates for a prolonged period. The EU real GDP would … Continue Reading

OJ: Commission Implementing Regulation updating list of appropriately diversified indices under CRR

On 30 January 2020, there was published in the Official Journal of the EU (OJ) Commission Implementing Regulation (EU) 2020/125 amending Implementing Regulation (EU) No 945/2014 laying down implementing technical standards with regard to relevant appropriately diversified indices, in accordance with the Capital Requirements Regulation (CRR). The Annex in Implementing Regulation (EU) 2020/125 replaces the … Continue Reading

Corrigendum to IFR published in OJ

On 24 January 2020, there was published in the Official Journal of the EU a corrigendum to the Investment Firms Regulation (IFR). The corrigendum amends Article 63(4)(e)(7) and Article 63(4)(f)(8) bringing the deadline for the European Securities and Markets Authority to submit draft regulatory technical standards and draft implementing technical standards a year forward, from … Continue Reading

EBA consults on RTS on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk

On 13 January 2020, the European Banking Authority (EBA) launched a consultation on draft regulatory technical standards (RTS) on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk. The draft RTS have been developed in accordance with Article 325(9) of the amended Capital Requirements Regulation (CRR II). Article 325(9) mandates the … Continue Reading

ECB Letter: Clarification of the process regarding recognition of contractual netting agreements as risk-reducing

On 19 December 2019, the European Central Bank (ECB) published a letter that it had sent to significant institutions in October, which provides clarification of the process to be applied by it as of 10 November 2019 for significant credit institutions with regard to the recognition of contractual netting agreements as risk reducing pursuant to … Continue Reading

FSB report assesses vulnerabilities of leveraged loans and CLOs

On 19 December 2019, the Financial Stability Board (FSB) published a report on vulnerabilities associated with leveraged loans and collateralised loan obligations (CLOs). The report assesses the financial stability implications of developments in the leveraged loan and CLO markets. It provides a global perspective by combining available data and analyses from FSB members. The main … Continue Reading

EBA draft standards on key aspects related to the implementation of the standardised approach for counterparty credit risk

On 18 December 2019, the European Banking Authority (EBA) published final draft regulatory technical standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR). The final draft RTS have been developed according to Article 277(5) and Article 279a(3) of the Capital Requirements Regulation, as amended by Regulation (EU) 2019/876. Article 277(5) mandates the EBA … Continue Reading

Commission adopts Delegated Regulation on alternative standardised approach for market risk under CRR

On 17 December 2019, the European Commission (Commission) adopted a Delegated Regulation with regard to the alternative standardised approach (ASA) for market risk under the Capital Requirements Regulation (CRR). The Delegated Regulation amends provisions in the CRR to reflect the revised version of the Basel Committee on Banking Supervision’s ‘Minimum capital requirements for market risk’, … Continue Reading

Basel Committee launches consolidated Basel Framework

On 16 December 2019, the Basel Committee on Banking Supervision (Basel Committee) announced that it had launched the consolidated Basel Framework (the framework). The framework brings together all of the Basel Committee’s global standards for the regulation and supervision of banks and presents them on a new section of the Basel Committee website.… Continue Reading

EBA consults to amend standards on benchmarking of internal models

On 13 December 2019, the European Banking Authority (EBA) issued a consultation setting out proposed amendments to Commission Implementing Regulation 2016/2070 as regards benchmarking portfolios, reporting templates and reporting instructions. The main update to Implementing Regulation 2016/2070 relates to the introduction of the IFRS 9 benchmarking templates. Article 78 of the Capital Requirements Directive IV … Continue Reading

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
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