On 2 October 2023, the European Systemic Risk Board (ESRB) published its response to the European Securities and Markets Authority’s (ESMA) final report on extending emergency measures on central counterparty (CCP) collateral requirements. On 14 October 2022, ESMA published a final report on emergency measures on collateral requirements. Previously, the European Commission asked ESMA to … Continue Reading
On 27 September 2023, there was published in the Official Journal of the European Union (OJ) Commission Implementing Regulation (EU) 2023/2056 of 26 September 2023 amending the implementing technical standards laid down in Commission Implementing Regulation (EU) No 945/2014 as regards an update of the list of relevant appropriately diversified indices in accordance with the … Continue Reading
On 27 September 2023, the European Systemic Risk Board (ESRB) published advice on the prudential treatment of environmental and social risks. The advice highlights the specificity of risks related to climate change, which can be expected to become an important driver of broader environmental and social risks, and the challenges of tackling such risks in … Continue Reading
On 27 September 2023, the Prudential Regulation Authority (PRA) announced two updates on its proposed timings for Basel 3.1 implementation in the UK. The PRA’s proposals for rules covering the remaining Basel III standards that are yet to be implemented in the UK were set out in Consultation Paper 16/22 (CP16/22), published in November 2022. … Continue Reading
On 27 September 2023, the Prudential Regulation Authority (PRA) published Consultation Paper 17/23: Capitalisation of foreign exchange positions for market risk (CP17/23). In CP17/23, the PRA sets out its proposed clarifications and amendments when capitalising foreign exchange exposures under the market risk capital framework. It also sets out the process for seeking permission to exclude … Continue Reading
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
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
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
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
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
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
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
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
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
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
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
On 19 June 2023, the Prudential Regulation Authority (PRA) published Consultation Paper 14/23 (CP14/23), setting out its proposals to enhance Pillar 3 remuneration disclosure requirements by reducing the number of such disclosures that are required for many smaller banks and building societies. The consultation follows on from the PRA’s February 2023 consultations CP4/23 (on liquidity … Continue Reading
On 12 July 2023, the Bank of England (BoE) published an updated version of its Policy Statement on the Financial Policy Committee’s (FPC) approach to setting the countercyclical capital buffer (CCyB). The FPC’s primary responsibility, with regard to its financial stability objective, includes the ‘identification of, monitoring of, and taking of action to remove or reduce … Continue Reading
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
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
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
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
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
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
