Featured Product

    ISDA on CRR III Proposals to Implement Key Basel III Standards in EU

    March 06, 2020

    ISDA hosted a bank capital conference in Brussels, wherein it highlighted that prudential regulators face a challenging balancing act between global and local interests in implementing the final Basel III rules. This balance between global and local interests is about to rise up the agenda with publication of proposals for the third Capital Requirements Regulation (CRR III) expected in June, which will implement, in EU, the key Basel III standards, including the Fundamental Review of the Trading Book (FRTB).

    One of the most significant changes in this next phase of Basel III will be the reduced use of internal models. A recent survey by ECB found that only 40% of the banks that are using internal models intend to seek approval to continue to use them under the FRTB rules. A further 40% expect to rely entirely on the new standardized approach. Moving to a world in which only four out of 10 banks in Europe persist in using internal models represents a significant change. For a standardized model to be effective in calculating capital requirements, it needs to be implemented both accurately and comparably across the industry.

    To this end, ISDA is working with a group of more than 30 banks on a benchmarking initiative to support accurate, efficient, and consistent implementation of the FRTB standardized approach. Recognizing the increased importance of standardized approaches, ISDA will look to expand this work to support other parts of the capital framework where standardized models are used. These will include credit valuation adjustment (SA-CVA) and the standardized approach for measuring counterparty credit risk (SA-CCR).

     

    Related Link: Notification

     

    Keywords: International, Europe, EU, Banking, CRR II, Basel III, FRTB, Internal Model, SA-CCR, SA-CVA, Standardized Approach, Credit Risk, Benchmarking, ECB, ISDA

    Featured Experts
    Related Articles
    News

    EBA Analyzes Impact of Unwind Mechanism of Liquidity Coverage Ratio

    EBA published a report analyzing the impact of the unwind mechanism of the liquidity coverage ratio (LCR) for a sample of European banks over a three-year period, from the end of 2016 to the first quarter of 2020.

    November 19, 2020 WebPage Regulatory News
    News

    ECB Outlines Views on Possible Changes to AnaCredit Rule and TLTROs

    In response to questions from a member of the European Parliament, the ECB President Christine Lagarde issued a letter clarifying the possibility of amending the AnaCredit Regulation and making targeted longer-term refinancing operations (TLTROs) dependent on the climate-related impact of bank loans.

    November 19, 2020 WebPage Regulatory News
    News

    IASB Begins First Phase of Post-Implementation Review of IFRS 9

    IASB started the post-implementation review of the classification and measurement requirements in IFRS 9 on financial instruments and added the review as a project to its work plan.

    November 18, 2020 WebPage Regulatory News
    News

    FSB Report Examines Progress in Resolvability of Systemic Institutions

    FSB published a report that examines progress in implementing policy measures to enhance the resolvability of systemically important financial institutions.

    November 18, 2020 WebPage Regulatory News
    News

    EBA Benchmarks National Insolvency Frameworks Across EU

    EBA published a report on the benchmarking of national loan enforcement frameworks across 27 EU member states, in response to the call for advice from EC.

    November 18, 2020 WebPage Regulatory News
    News

    FSB Reports Assess Impact of Pandemic on Financial Stability

    FSB published a letter from its Chair Randal K. Quarles, along with two reports exploring various aspects of the market turmoil resulting from the COVID-19 event.

    November 17, 2020 WebPage Regulatory News
    News

    RBNZ Consults on Implementation of Capital Review Changes

    RBNZ launched a consultation on the details for implementing the final Capital Review decisions announced in December 2019.

    November 17, 2020 WebPage Regulatory News
    News

    IASB Announces Andreas Barckow as the New Chair from July 2021

    The Trustees of the IFRS Foundation, which are responsible for the governance and oversight of IASB, have announced the appointment of Dr. Andreas Barckow as the IASB Chair, effective July 2021.

    November 17, 2020 WebPage Regulatory News
    News

    HKMA Consults on Capital Rules for Bank Equity Investments in Funds

    HKMA issued a letter to consult the banking industry on a full set of proposed draft amendments to the Banking (Capital) Rules for implementing the Basel standard on capital requirements for banks’ equity investments in funds in Hong Kong.

    November 17, 2020 WebPage Regulatory News
    News

    ESRB Supports Extension of Macro-Prudential Measure by Swedish FSA

    ESRB published an opinion assessing the decision of Swedish Financial Supervisory Authority (FSA) to extend the application period of a stricter measure for residential mortgage lending, in accordance with Article 458 of the Capital Requirements Regulation (CRR).

    November 17, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 6153