Basel III: capital
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Capital; liquidity; leverage | Date of publication: June, 2011
Set of proposals for banking regulation reform that supplement BIS II, adding a capital buffer, leverage and liquidity requirements, and modifying the capital base as well as the calculation of minimum capital requirements.
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Basel III. The Liquidity Coverage Ratio (LCR) and liquidity risk monitoring tools
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Liquidity | Date of publication: January, 2013
Introduces significant changes to the short-term liquidity coverage ratio (LCR), to make requirements less stringent.
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Basel III. The Net Stable Funding Ratio (NSFR)
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Interest rate risk; Capital | Date of publication: October, 2014
The BCBS has reinforced its liquidity framework through the development of two minimum standards for funding liquidity. The aim of the NSFR is to reduce funding risk over the longer term. For this, banks are required to fund their activities with stable sources of funding.
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Basel III. Leverage ratio framework and disclosure requirements
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Leverage | Date of publication: January, 2014
Leverage ratio framework and disclosure requirements to ensure that this objective is met.
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Interest rate risk in the banking book (IRRBB)
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Interest rate risk; Capital | Date of publication: April, 2016
Final standards which update the Pillar 2 Principles for the management and supervision of interest rate risk in the banking book (IRRBB). The BCBS also sets out a standardised framework which supervisors could mandate their banks to follow, or a bank could choose to adopt.
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Basel III revision
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Credit risk; operational; CVA; leverage; floors | Date of publication: December, 2017
Revisions to the Basel III regulatory framework that will help restore credibility in the calculation of RWA by: i) enhancing the robustness and risk sensitivity of the standardised approaches for credit risk and operational risk, which will facilitate the comparability of banks' capital ratios; ii) constraining the use of internally modelled approaches; and iii) complementing the risk-weighted capital ratio with a finalised leverage ratio and a revised and robust capital floor.
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Standards on the regulatory treatment of accounting provisions for an interim period
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Credit risk; Capital; Provisions | Date of publication: March, 2017
Final standards that set out the regulatory treatment of accounting provisions for an interim period. Given the limited time until the effective date of IFRS 9, the BCBS retains the current treatment under the Basel framework that period. Further, the final standards set out the transitional arrangements that institutions may choose to implement from 1 January 2018, aiming to smooth any potential significant negative impact on regulatory capital arising from the introduction of expected credit losses (ECL) accounting.
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Standard on the minimum capital requirements for market risk
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Capital; Market risk | Date of publication: January, 2019
Standard on the minimum capital requirements for market risk which aims at addressing those issues that have been identified in the course of monitoring the implementation and impact of the standard published in 2016. In particular, amendments are introduced to the following aspects: i) scope of application, ii) internal models, iii) standardised approach, and iv) simplified alternative to the standardised approach.
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Deferral of Basel III implementation
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Capital | Date of publication: March, 2020
Deferral of Basel III implementation to provide additional operational capacity for banks and supervisors. In particular, the implementation date is deferred for the revised Basel III standards, including the transitional arrangements for the output floor, the revised market risk framework and revised Pillar 3 disclosure requirements.
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Targeted revisions to the CVA risk framework
Scope: Global | Regulator: BCBS | Industry: Banking | Topic: Capital; CVA Risk | Date of publication: July, 2020
Targeted revisions to the CVA risk framework which introduces two main changes: i) reflecting the corresponding market risk revisions in the CVA risk framework and ii) considering additional targeted revisions to the CVA risk framework.
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Solvency II
Scope: EU | Regulator: EP and Council | Industry: Insurance | Topic: Insurance | Date of publication: November, 2009
Directive that governs and harmonizes insurance regulations in Europe. It deals mainly with the amount of capital that EU insurance companies must hold to reduce the risk of insolvency.
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CRD IV/CRR
Scope: EU | Regulator: EP and Council | Industry: Banking | Topic: Capital; Corporate governance | Date of publication: June, 2013
CRD IV/CRR transposes Basel III to European law. This text strengthens bank capital requirements, introduces a mandatory capital conservation buffer and a discretionary countercyclical buffer, and foresees a framework for new regulatory requirements on liquidity and leverage, as well as additional capital requirements for systemically important institutions.
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Delegated Regulation (EU) 2015/61 to supplement Regulation (EU) No 575/2013 with regard to liquidity coverage requirement (LCR)
Scope: EU | Regulator: European Commission | Industry: Banking | Topic: Liquidity | Publication date; January, 2015
Delegated Regulation that lays down rules to specify in detail the liquidity coverage requirement provided for in Article 412 of the CRR
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Delegated Regulation (EU) 2015/62 amending Regulation (EU) No 575/2013 with regard to the leverage ratio (LR)
Scope: EU | Regulator: European Commission | Industry: Banking | Topic: Leverage | Date of publication: January, 2015
Delegated Regulation that introduces changes to the leverage ratio framework according to the provisions set out in the CRR.
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Regulation (EU) 2019/630 amending the CRR as regards minimum loss coverage for NPE
Scope: EU | Regulator: EP and Council | Industry: Banking | Topic: Capital; Credit risk | Date of publication: May, 2019
Regulation which complements the existing prudential rules in the CRR relating to own funds with provisions requiring a deduction from own funds where NPEs are not sufficiently covered by provisions or other adjustments. In particular, this Regulation introduces amendments to, among other aspects, the deductions from CET1, the concept of NPEs, the concept of forbearance measures, the deduction for NPEs, the treatment of expected loss amounts, and the derogation from deductions from CET1 items for NPEs.
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Reform package of the banking system
Scope: EU | Regulator: EP and Council | Industry: Banking | Topic: Capital; Liquidity; Leverage; Corporate governance | Date of publication: June, 2019
Reform package of the banking system, which introduces amendments to, among others, the Capital Requirement Directive (CRD IV) and the Capital Requirement Regulation (CRR).
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Directive (EU) 2019/2034 on the prudential supervision of investment firms and the Regulation (EU) 2019/2033 on the prudential requirements of investment firms
Scope: UE | Regulator: EP and Council | Industry: Banca | Topic: Capital; investment firms| Date of publication: December, 2019
Adjustment of the prudential framework to investment firms with the aim of establishing an effective and proportionate prudential framework to ensure that IFs, which are not systemically important, authorised to operate in the Union do so on a sound financial basis and are managed in an orderly manner acting in the best interests of their clients. These rules apply to IFs authorised and supervised under MiFID II
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Directive (EU) 2019/2177 amending the Solvency II Directive, MiFID II and AML/CFT IV
Scope: EU | Regulator: EP and Council | Industry: Banking; Insurance | Topic: Capital; MiFID and AML/CFT | Date of publication: December, 2017
Directive (EU) 2019/2177 amending the Solvency II Directive, MiFID II and AML/CFT IV, with the aim of adapting the rules to regulatory changes and new challenges in the financial system. The amendments to these three directives take the shape of an improvement in the quality of data provision services, a strengthening of cooperation between supervisory authorities and new powers for the EBA, respectively.
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Changes to the IRB method
Scope: EU | Regulator: EBA | Industry: Banking | Topic: Credit risk; Capital | Date of publication: March, 2015
Deals with key actions that need to be implemented to improve the IRB approach framework.
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Final Guidelines on PD and LGD estimation and the treatment of defaulted exposures
Scope: EU | Regulator: EBA | Industry: Banking | Topic: Credit risk | Date of publication: November, 2017
Guidelines on estimation of the IRB risk parameters (PD and LGD) and on the treatment of defaulted exposures, which are focused on the definitions and modelling techniques used in the estimation of risk parameters for both non-defaulted (PD and LGD) and defaulted exposures (best estimate of expected loss (ELbe) and LGD-in defaulted).
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Final Guidelines (GL) for the estimation of LGD appropriate for an economic downturn
Scope: EU | Regulator: EBA | Industry: Banking | Topic: Credit Risk | Date of publication: March, 2019
Final Guidelines (GL) for the estimation of LGD appropriate for an economic downturn, which set out requirements for the quantification of the calibration target used for downturn LGD estimation. These GL are an addendum to the GL on PD estimation, LGD estimation and the treatment of defaulted assets which were published by the EBA in November 2017, in order to reduce unwarranted variability of risk parameters and own funds requirements.
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Final draft on RTS on the SA-CCR
Scope: EU | Regulator: EBA | Industry: Banking | Topic: Credit risk | Date of publication: December, 2019
This final draft covers three-pronged methodology for the mapping of derivative transactions to risk categories: i) a qualitative approach; ii) a qualitative and quantitative approach; and iii) a fallback approach. The EBA also proposes to use, in line with Basel standards, a supervisory delta formula based on a shifted Black-Scholes model.
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Guidelines (GL) on CRM for institutions applying the IRB approach with own estimates of Loss Given Defaults (LGDs)
Scope: EU | Regulator: EBA | Industry: Banking | Topic: Credit risk | Date of publication: May, 2020
Guidelines that clarify the application of the CRM approach for advanced internal rating based approach (A-IRB) institutions, focusing on clarifying the application of the current CRR provisions for the eligibility and methods of different CRM techniques, i.e. funded credit protection (FCP) and unfunded credit protection (UFCP). This is supplemented by additional detailed guidance on eligibility requirements and treatment of FCP or UFCP.
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Criteria for allowing the use of AMA methods
Scope: EU | Regulator: EBA | Industry: Banking | Topic: Operational risk; Capital | Date of publication: June, 2015
RTS specifying the qualitative and quantitative requirements on which Competent Authorities should base their decisions as to whether to allow banks to use advanced methods (AMA) for the calculation of capital for operational risk.
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RTS on the assessment methodology of IMA for market risk
Scope: EU | Regulator: EBA | Industry: Banking | Topic: Market risk | Date of publication: November, 2016
RTS that specify, among other aspects, the methodology that competent authorities shall apply to assess compliance of an institution with the requirements to use an Internal Model Approach (IMA) for market risk.
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