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Topic: Capital adequacy

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Published in the OJ: Commission Delegated Regulation 2023/1668 with regard to RTS specifying the measurement of risks or elements of risks not covered or not sufficiently covered by the own funds requirements set out in Parts Three and Four of the IFR and the indicative qualitative metrics for the amounts of additional own funds

On 31 August 2023, there was published in the Official Journal of the European Union (OJ),  Commission Delegated Regulation (EU) 2023/1668 of 25 May 2023 supplementing the Investment Firms Directive with regard to regulatory technical standards specifying the measurement of risks or elements of risks not covered or not sufficiently covered by the own funds … Continue Reading

EBA updates timeline for the implementation of the IRB roadmap and publishes its final supervisory handbook for the validation of IRB rating systems

On 7 August 2023, the European Banking Authority (EBA) updated its roadmap for the implementation of internal ratings based (IRB) model requirements to limit compliance costs for institutions. In July 2019, the EBA issued a progress report and set a new timeline for the implementation of the requirements of its so called ‘IRB repair program’. … Continue Reading

EBA collecting bank data on IRRBB

On 7 August 2023, the European Banking Authority (EBA) published its Decision to run an ad-hoc data collection of institutions’ interest rate risk in the banking book (IRRBB) data. The data collection will provide the EBA and Member State competent authorities with data to monitor risks arising from interest rate changes and the implementation of … Continue Reading

EBA follow-up report on the use of machine learning for IRB models

On 4 August 2023, the European Banking Authority published a follow-up report setting out the feedback it received to its earlier discussion paper on machine learning used in the context of internal ratings-based (IRB) models. The EBA also covers the interaction between prudential requirements on IRB models and two other legal frameworks that have an … Continue Reading

EBA consults on draft RTS on extraordinary circumstances for continuing the use of an internal model or discarding certain back-testing overshootings under Article 325az(9) CRR

On 3 August 2023, the European Banking Authority (EBA) published a consultation paper on draft regulatory technical standards (RTS) on extraordinary circumstances for continuing the use of an internal model of discarding certain back-testing overshootings under Article 325az(9) of the Capital Requirements Regulation (CRR). Per Article 325az(9) of the CRR the draft RTS specify the … Continue Reading

Published in the OJ: Commission Delegated Regulation 2023/1578 with regard to RTS specifying the requirements for the internal methodology or external sources used under the internal default risk model for estimating default probabilities and losses given default

On 1 August 2023, there was published in the Official Journal of the European Union (OJ) Commission Delegated Regulation 2023/1578 of 20 April 2023 supplementing the Capital Requirements Regulation with regard to regulatory technical standards specifying the requirements for the internal methodology or external sources used under the internal default risk model for estimating default … Continue Reading

Published in the OJ: Commission Delegated Regulation (EU) 2023/1557 with regard to RTS on the calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange risk or commodity risk and the treatment of those positions for the purpose of the regulatory back-testing requirements and the profit and loss attribution requirement under the alternative internal model approach

On 1 August 2023, there was published in the Official Journal of the European Union (OJ), Commission Delegated Regulation (EU) 2023/1557 of 20 April 2023 supplementing the Capital Requirements Regulation with regard to regulatory technical standards on the calculation of the own funds requirements for market risk for non-trading book positions subject to foreign exchange … Continue Reading

EBA Final Report on draft ITS on IRRBB reporting under Commission Implementing Regulation (EU) 2021/45

On 31 July 2023, the European Banking Authority (EBA) published a Final Report proposing  amendments to the implementing technical standards (ITS) on supervisory reporting regarding interest rate risk in the banking book (IRRBB) reporting requirements. This new harmonised reporting aims to bring the data quality required for assessing IRRBB risks on an appropriate scale of … Continue Reading

EBA consults on guidelines on the application of the group capital test for investment firm groups under the IFR

On 25 July 2023, the European Banking Authority (EBA) published a consultation paper setting out draft guidelines on the application of the group capital test for investment firm groups in accordance with Article 8 of the Investment Firms Regulation (IFR). The guidelines aim to set harmonised criteria to address the observed diversity in the application … Continue Reading

EBA publishes report on interdependent assets and liabilities in the NSFR

On 24 July 2023, the European Banking Authority (EBA) published its report on the treatment of interdependent assets and liabilities in the net stable funding ratio (NSFR). The report assesses the conditions under which assets and liabilities can be treated as interdependent in the NSFR and the description of the list of activities that are … Continue Reading

EBA updates on the monitoring of Additional Tier 1, Tier 2 and TLAC/MREL eligible liabilities instruments of EU institutions

On 21 July 2023, the European Banking Authority (EBA) published a report which provides an update on the monitoring of Additional Tier 1 (AT1), Tier 2 and total loss-absorbing capacity / minimum requirement for own funds and eligible liabilities (TLAC/MREL) instruments of EU institutions. The report merges the contents of the AT1 monitoring report published … Continue Reading

ESRB publishes Compliance Report on the recommendation of the ESRB on liquidity and leverage risks in investment funds

On 4 July 2023, the European Systemic Risk Board (ESRB) published a compliance report, which provides an assessment of the implementation of its Recommendation of 7 December 2017 on liquidity and leverage risks in investment funds. The Recommendation is addressed to the European Commission and the European Securities and Markets Authority. It aims to address … Continue Reading

ESRB publishes Compliance Report on the recommendation of the ESRB on liquidity and leverage risks in investment funds

On 4 July 2023, the European Systemic Risk Board (ESRB) published a compliance report, which provides an assessment of the implementation of its Recommendation of 7 December 2017 on liquidity and leverage risks in investment funds. The Recommendation is addressed to the European Commission and the European Securities and Markets Authority. It aims to address … Continue Reading

Council of the EU and European Parliament reach provisional agreement on the implementation of Basel III reforms

On 27 June 2023, the Council of the EU announced that a provisional agreement has been reached on the implementation of Basel III reforms through amendments to the Capital Requirements Regulation (CRR) and the Capital Requirements Directive (CRD IV). Negotiators from the Council presidency and the European Parliament provisionally agreed on the following: The agreement … Continue Reading

ECB consults on revised guide to internal models

On 22 June 2023, the European Central Bank (ECB) launched a consultation on its revised guide to internal models. The ECB’s guide to internal models provides transparency on how the ECB understands and applies Articles 143, 283 and 363 of the Capital Requirements Regulation (CRR). These Articles require the ECB to grant permission to use … Continue Reading

EBA report on the monitoring of LCR and NSFR implementation in the EU

On 15 June 2023, the European Banking Authority (EBA) published a report on the monitoring of the implementation of the liquidity coverage ratio (LCR) and net stable funding ratio (NSFR) in the EU. The EBA has already published two monitoring reports which aim to foster a higher degree of harmonisation in the implementation of the … Continue Reading

European Commission published Commission Delegated Regulation supplementing Directive (EU) 2019/2034 with regard to regulatory technical standards specifying the measurement of risks or elements of risks not covered or not sufficiently covered by the own funds requirements

On 25 May 2023, the European Commission published Commission Delegated Regulation (EU) of 25 May 2023 supplementing the Investment Firms Directive with regard to regulatory technical standards specifying the measurement of risks or elements of risks not covered or not sufficiently covered by the own funds requirements set out in parts three and four of … Continue Reading

Commission Delegated Regulation supplementing the IFD with regard to RTS for the specific liquidity measurement of investment firms under Article 42(6) of that Directive

On 17 May 2023, the European Commission published Commission Delegated Regulation (EU) /… supplementing the Investment Firms Directive with regard to regulatory technical standards for the specific liquidity measurement of investment firms under Article 42(6) of that Directive. The technical standards under the draft Delegated Regulation have been developed in accordance with Article 42(6) of … Continue Reading

EBA report on holdings of eligible liabilities issued by G-SIIs and O-SIIs

On 16 May 2023, the European Banking Authority (EBA) issued a report on the holdings by EU banks of the minimum requirement for own funds and eligible liabilities (MREL) instruments issued by the most systemic European banks. As of 31 December 2021, the report shows that these holdings appear small and the direct spill over … Continue Reading

ECB Asset Quality Review Manual

On 16 May 2023, the European Central Bank (ECB) published a manual with information necessary to execute Phase 2 of the asset quality review (AQR). The ECB and Member State competent authorities responsible for conducting banking supervision carry out AQRs of banks in accordance with the Single Supervisory Mechanism Regulation. Following completion of the AQR, … Continue Reading

SRB keeps MREL policy stable and publishes MREL dashboard Q4 2022

On 15 May 2023, the Single Resolution Board issued a press release stating that it was maintaining its policy on the calibration of the minimum requirement for own funds and eligible liabilities (MREL) with minimal changes this year. The press release adds that the only change concerns the scope of entities subject to internal MREL … Continue Reading

EBA draft RTS on the prudential consolidation of an investment firm group

On 12 May 2023, the European Banking Authority (EBA) issued a final report containing draft regulatory technical standards (RTS) on the scope and methods for consolidation of an investment firm group under the Investment Firms Regulation (IFR). The final report follows a consultation paper that the EBA published in June 2020 which included draft RTS … Continue Reading

Final draft RTS on the determination of the exposure value of SES in synthetic securitisations

On 25 April 2023, the European Banking Authority (EBA) published a report containing final draft regulatory technical standards (RTS) that specify how originator institutions are to determine the exposure value referred to in Article 248(1)(e) of the Capital Requirements Regulation (CRR) (as amended by Regulation 2021/558), taking into account the relevant losses expected to be … Continue Reading
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