AMF Reinstates Market Risk Multiplier, Issues Guideline on Governance
AMF announced that, effective May 01, 2021, the concerned financial institutions must return to using the stress Value at Risk (sVAR) multiplier of 3. AMF had, in March 2020, allowed the financial institutions to temporarily lower the sVAR multiplier from 3 to 1 in response to the COVID-19 pandemic. AMF also set out its expectations for financial institutions in the guideline on governance. The guideline is line with the core principles and guidance published by BCBS and IAIS, which clearly identify the need for financial institutions to implement sound governance practices and for regulatory authorities to provide the frameworks required to do this.
In the guideline, AMF describes the components that are essential for ensuring effective and efficient governance of a financial institution and expects financial institutions to:
- implement effective and efficient governance supported by a corporate culture that considers their and their clients’ long-term interests.
- clearly define and segregate the roles and responsibilities of the board and senior management to ensure competent and independent performance of their duties.
- develop, implement, and ensure the effectiveness of a governance framework tailored to their nature, size, operational complexity, and risk profile.
- implement internal controls that meet and support the achievement of established objectives.
- establish a risk management function that is supported by sound governance involving the board of directors and senior management.
- set up a compliance function in charge of establishing compliance management policies and procedures involving legal, regulatory, and normative requirements covering all their activities and to ensure that these policies and procedures are updated periodically.
- set up an independent internal audit function capable of providing objective assurance on the effectiveness of governance, risk, and compliance management processes and internal controls.
- ensure that members of the board, members of senior management, and key persons in control functions demonstrate integrity and competency at all times.
- implement remuneration practices that do not encourage excessive or inappropriate risk-taking and that consider the long-term interests of the institution and its stakeholders.
- disclose the main aspects of its governance framework and be sufficiently transparent to all stakeholders, while considering the nature of their activities.
Keywords: Americas, Canada, Quebec, Banking, COVID-19, Market Risk, Regulatory Capital, Governance, Internal Control, Stressed Value at Risk, Basel, AMF
Featured Experts

María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer

Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.

Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Previous Article
SBV Amends Measures to Support Recovery from COVID-19 pandemicRelated Articles
EC Consults on PSD2 and Open Finance; EU Reaches Agreement on DORA
The European Commission (EC) published a public consultation on the review of revised payment services directive (PSD2) and open finance.
EC Mandates ESAs to Propose Amendments to SFDR Technical Standards
The European Commission (EC) has issued two letters mandating the European Supervisory Authorities (ESAs) to jointly propose amendments to the regulatory technical standards under Sustainable Finance Disclosure Regulation or SFDR.
EBA Examines Supervisory Practices, Issues Deposits Reporting Template
The European Banking Authority (EBA) published its annual report on convergence of supervisory practices for 2021. Additionally, following a request from the European Commission (EC),
US Agency Publications Address Basel, Reporting, and CECL Developments
The Farm Credit Administration published, in the Federal Register, the final rule on implementation of the Current Expected Credit Losses (CECL) methodology for allowances
SEC Extends Comment Period on Climate Risk Disclosures
The U.S. Securities and Exchange Commission (SEC) looks set to intensify focus on crypto-assets and cyber risk and extended the comment period on the proposed rules to enhance and standardize climate-related disclosures for investors.
APRA Reduces Committed Liquidity Facility, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility and issued an update on the operational preparedness for zero and negative market interest rates.
CMF Consults on Basel Rules, Presents Roadmap to Address Climate Risks
The Commission for the Financial Market (CMF) in Chile published capital adequacy ratios (as of February 2022, January 2022, and December 2021) for 17 banks and for the banking system.
PRA Issues Statement on NPEs and Policy on Trading Activity Wind-Down
The Prudential Regulation Authority (PRA) issued a statement on the European Banking Authority (EBA) guidelines on management of non-performing exposures (NPEs) and forborne exposures.
EBA Updates Standards for 2023 Benchmarking of Internal Approaches
The European Banking Authority (EBA) updated the implementing technical standards that specify the data collection for the 2023 supervisory benchmarking exercise in relation to the internal approaches used in market risk, credit risk, and IFRS 9 accounting.
EIOPA Responds to Stakeholder Views on Blockchain in Insurance
The European Insurance and Occupational Pensions Authority (EIOPA) published a feedback statement on the responses received to the consultation on blockchain and smart contracts in insurance.