Tag: Capital Adequacy

Update on UK implementation of the Basel 3.1 standards

On 30 November 2022, there was published: HM Treasury consultation ‘Implementation of the Basel 3.1 standards’. PRA Consultation Paper 16/22 ‘Implementation of the Basel 3.1 standards’ HM Treasury consultation HM Treasury is consulting on the legislative changes necessary to facilitate the PRA’s implementation of the final set of Basel reforms, introduced following the financial crisis, … Continue Reading

PRA Policy Statement on amendments to the approach to identifying other systemically important institutions

On 29 November 2022, the PRA published Policy Statement 9/22: Amendments to the PRA’s approach to identifying other systemically important institutions (PS9/22). The PRA is required to identify and publish a list of other systemically important institutions (O-SIIs) under Article 32 of the Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014 (the Capital Buffers … Continue Reading

Commission Delegated Regulation (EU) 2022/2311 amending the RTS laid down in Delegated Regulation (EU) No 153/2013 as regards temporary emergency measures on collateral requirements

On 28 November 2022, there was published in the Official Journal of the European Union (OJ),  Commission Delegated Regulation (EU) 2022/2311 of 21 October 2022, amending the regulatory technical standards laid down in Delegated Regulation (EU) No 153/2013 as regards temporary emergency measures on collateral requirements. Article 1 modifies Articles 39 and 62 of Commission … Continue Reading

Commission Delegated Regulation supplementing the CRR with regard to RTS for the calculation of risk-weighted exposure amounts of collective investment undertakings under the mandate-based approach

On 24 November 2022, the European Commission published a Commission Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) of the calculation of risk-weighted exposure amounts of collective investment undertakings (CIUs) under the mandate-based approach. The provisions in the Commission Delegated Regulation specify how institutions are to calculate the … Continue Reading

Published in the OJ – Commission Delegated Regulation (EU) 2022/2257 supplementing the CRR with regard to RTS specifying the calculation methods of gross jump-to-default amounts for exposures to debt and equity instruments and for exposures to default risk arising from certain derivative instruments, and specifying the determination of notional amounts of instruments other than the instruments

On 18 November 2022, there was published in the Official Journal of the European Union (OJ), Commission Delegated Regulation (EU) 2022/2257 of 11 August 2022, supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards specifying the calculation methods of gross jump-to-default amounts for exposures to debt and equity instruments and for exposures … Continue Reading

Member States adopt general approach on CRR II and CRD VI proposals

On 8 November 2022, the Council of the EU adopted its general approach on the European Commission’s (Commission) legislative package on the implementation of the final Basel III standards. The Basel III legislative package comprises of a: Commission proposal for a Regulation amending the Capital Requirements Regulation (CRR) as regards requirements for credit risk, credit valuation … Continue Reading

EBA methodology and draft template for the 2023 EU-wide stress test

On 4 November 2022, the European Banking Authority (EBA) published the final methodology, draft templates and template guidance for the 2023 EU-wide stress test along with the milestone dates for the exercise. The objectives of the EU-wide stress test is to provide EU supervisors, banks and other market participants with a common analytical framework to … Continue Reading

Corrigendum to Commission Implementing Regulation (EU) 2022/389 laying down ITS for the application of the IFD with regard to the structure, content lists and annual publication date of the information to be disclosed by competent authorities

On 20 October 2022, there was published in the Official Journal of the European Union Corrigendum to Commission Implementing Regulation (EU) 2022/389 of 8 March 2022 laying down Implementing Technical standards for the application of the Investment Firms Directive with regard to the structure, content lists and annual publication date of the information to be … Continue Reading

EBA final standards and guidelines on interest rate risk arising from non-trading book activities

On 20 October 2022, the European Banking Authority (EBA) published a new set of guidelines and two final draft Regulatory Technical Standards (RTS) specifying technical aspects of the revised framework capturing interest rate risks for banking book (IRRBB) positions. The new guidelines and draft RTS complete the onboarding into EU law of the Basel standards … Continue Reading

Commission Delegated Regulation amending the RTS laid down in Delegated Regulation (EU) No 153/2013 as regards temporary emergency measures on collateral requirements

On 18 October 2022, the European Commission published a Commission Delegated Regulation amending the regulatory technical standards laid down in Delegated Regulation (EU) No 153/2013 as regards temporary emergency measures on collateral requirements. The delegated act introduces a modification to Commission Delegated Regulation (EU) No 153/2013. Article 1 modifies Articles 39 and 62 of Commission … Continue Reading

PRA statement on credit risk mitigation eligibility, risk-based capital treatment, and leverage ratio treatment of guarantees under the Energy Markets Financing Scheme

On 18 October 2022, the Prudential Regulation Authority (PRA) published a statement on credit risk mitigation (CRM) eligibility, risk-based capital treatment, and leverage ratio treatment of guarantees under the Energy Markets Financing Scheme (EMFS). The statement sets out the PRA’s observations on the capital requirements relating to firms’ exposures under the scheme, particularly eligibility for … Continue Reading

EBA publishes report on the peer review on ICT risk assessment under the SREP

On 17 October 2022, the European Banking Authority (EBA) published a report setting out its findings following a peer review on information and communication technology (ICT) risk assessment under the supervisory review and evaluation process (SREP). Key findings from the peer review include: EU competent authorities have largely implemented the EBA’s guidelines on ICT risk … Continue Reading

ESMA final report on emergency measures on collateral requirements

On 14 October 2022, the European Securities and Markets Authority (ESMA) published a final report on emergency measures on collateral requirements. Previously, the European Commission asked ESMA to consider whether the applicable Level 2 provisions, in particular Commission Delegated Regulation (EU) 153/2013, supplementing the European Market Infrastructure Regulation (EMIR) with regards to requirements for central … Continue Reading

PRA consultation on risks from contingent leverage

On 12 October 2022, the PRA published Consultation Paper 12/22 ‘Risks from contingent leverage’ (CP12/22). In CP12/22 the PRA proposes to update its supervisory expectations for firms undertaking an Internal Capital Adequacy Assessment process (ICAAP) in relation to the risks from contingent leverage, and to introduce a new data reporting requirement for collecting data on … Continue Reading

Margin for redemptions of eligible liabilities

On 12 October 2022, the Single Resolution Board (SRB) and the European Central Bank (ECB) reached an ‘in principle’ agreement on the margin for redeeming eligible liabilities under Article 78a(1)(b) of the Capital Requirements Regulation. The new ‘In principle’ agreement is applicable to authorisations granted as of 1 January 2023, including General Prior Permission (GPP) … Continue Reading

EBA guidelines on disclosure of non-performing and forborne exposures

On 12 October 2022, the European Banking Authority (EBA) issued a press release stating that given the overlap with the Implementing Technical Standards (ITS) on Pillar 3 disclosure it was repealing the: Guidelines on disclosure requirements under Part Eight of the Capital Requirements Regulation (CRR) (EBA/GL/2016/11). Guidelines on liquidity coverage ratio disclosure to complement the … Continue Reading

Commission Delegated Regulation laying down RTS amending Delegated Regulation No 241/2014 as regards the prior permission to reduce own funds and the requirements related to eligible instruments

On 11 October 2022, the European Commission published a Commission Delegated Regulation (EU) laying down regulatory technical standards (RTS) amending Delegated Regulation (EU) No 241/2014 as regards the prior permission to reduce own funds and the requirements related to eligible instruments. Commission Delegated Regulation (EU) No 241/2014 supplements the Capital Requirements Regulation (CRR) with regard … Continue Reading

EBA updates on the monitoring of total loss-absorbing capacity and minimum requirement for own funds and eligible liabilities instruments

On 7 October 2022, the European Banking Authority (EBA) has issued its latest monitoring report regarding total loss-absorbing capacity and minimum requirement for own funds and eligible liabilities (TLAC/MREL).  The report provides policy views based on TLAC/MREL instruments assessed up to February 2022 with a view to continue strengthening the quality of the instruments and … Continue Reading

RTS under Articles 124(4) and 164(8) of the CRR

On 5 October 2022, the European Commission published a draft Delegated Regulation supplementing the Capital Requirements Regulation with regard to regulatory technical standards (RTS) specifying the types of factors to be considered for the assessment of the appropriateness of risk weights for exposures secured by immovable property and the conditions to be taken into account … Continue Reading

Basel Committee report – Buffer usability and cyclicality in the Basel framework

On 5 October 2022, the Basel Committee on Banking Supervision issued a report, Buffer usability and cyclicality in the Basel framework. The report is the Basel Committee’s second report on the impact and effectiveness of the implemented Basel reforms and provides an in-depth examination of several questions regarding buffer usability and cyclicality of the Basel … Continue Reading

EBA updates data used for the identification of G-SIIs

On 29 September 2022, the European Banking Authority (EBA) disclosed the data items used to identify global systemically important institutions within the EU. The EBA has published 13 indicators and updated underlying data for the 30 largest institutions in the EU whose leverage ratio exposure measure exceeds EUR 200bn. Acting as a central data hub … Continue Reading

ESRB to publish a report on whether bank capital requirements can be an effective tool for reducing carbon emissions

On 29 September 2022, the European Systemic Risk Board issued a press release reporting on the meeting that its general board held on 22 September 2022. At the meeting, the general board issued a warning on vulnerabilities in the EU’s financial system. The general board concluded that risks to the financial stability in the EU … Continue Reading

Basel Committee publishes review of margining practices

On 29 September 2022, the Basel Committee on Banking Supervision (Basel Committee) published a report concerning a review of margining practices. Background In non-centrally cleared markets, the Basel Committee and the International Organisation of Securities Commissions (IOSCO) developed a framework that established minimum standards for margin requirements for non-centrally cleared derivatives (although not non-centrally cleared … Continue Reading
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