Europe

May 6, 2020

Final Guidelines on Credit Risk Mitigation for Institutions applying the IRB approach with own estimates of LGDs

The European Banking Authority (EBA) has published its final Guidelines on credit risk mitigation (CRM) in the context of the advanced internal ratings-based (A-IRB) approach (Guidelines).    These Guidelines, which are part of the EBA’s regulatory review of the IRB approach, aim to eliminate the remaining significant differences in approaches
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May 5, 2020

UK Government’s Bounce Back Loans Scheme: Observations on Credit Risk Mitigation Eligibility and the Leverage Ratio Treatment

The Prudential Regulation Authority (PRA) has published its observations on the risk-weighted treatment of exposures under the Bounce Back Loan Scheme, particularly eligibility for recognition as unfunded credit risk mitigation under the Capital Requirements Regulation.    The PRA release also sets out a change to the UK leverage ratio framework.
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April 23, 2020

Sustainable Finance: European Supervisory Authorities consult on ESG Disclosures

European Supervisory Authorities have issued a Consultation Paper on Environmental, Social and Governance (ESG) disclosure standards.   The joint consultation paper seeks input on proposed ESG disclosure standards for financial market participants, advisers, and products.   Developed under the EU Regulation on sustainability-related disclosures in the financial services sector, the
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April 20, 2020

Prudential Regulation Authority publishes a set of Q&A on the usability of liquidity and capital buffers

The Prudential Regulation Authority (PRA) has published a document to answer some commonly asked questions on the usability of liquidity and capital buffers and their operation as outlined in PRA rules and guidelines.   The regulator notes that the document is relevant to all banks to which the Capital Requirements
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April 19, 2020

COVID-19: The ECB provides temporary relief for capital requirements for market risk

The European Central Bank (ECB) has announced a temporary reduction in capital requirements for market risk, by allowing banks to adjust the supervisory component of these requirements.   As well as smoothing procyclicality, the reduction aims to maintain banks’ ability to provide market liquidity and to continue market-making activities during
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