Featured Product

    EU Publishes Corrigendum to CRR2, Amends Rule on Mapping of ECAIs

    November 17, 2021

    EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876). The corrigendum makes changes to text in various articles in the regulation, including articles related to the consolidated calculation for global systemically important institutions (G-SIIs) with multiple resolution entities; application of disclosure requirements on a consolidated basis; deductions from eligible liabilities items; index holdings of capital instruments and of liabilities; and qualifying additional tier 1, tier 1, tier 2 capital, and qualifying own funds. Additional corrections relate to articles on requirements for own funds and eligible liabilities for G-SIIs; exemptions from specific reporting requirements for market risk; own funds requirements for delta and vega risks; delta risk sensitivities; liquidity horizons; and net stable funding requirements.

    Additionally, the European Commission (EC) published the Implementing Regulation 2021/2005, which amends Regulation 2016/1799, regarding the mapping tables specifying correspondence between the credit risk assessments of external credit assessment institutions (ECAIs) and the credit quality steps set out in the Capital Requirements Regulation (CRR or EU Regulation No 575/2013). Regulation 2016/1799 specifies, in its Annex III, the correspondence between the relevant credit assessments issued by an ECAI and the credit quality steps set out in CRR (mapping). Following the latest amendments, via the Implementing Regulation 2019/2028, to Annex III to Regulation 2016/1799, the quantitative and qualitative factors underpinning the credit assessments of some mappings in Annex III to Implementing Regulation 2016/1799 have changed. In addition, some ECAIs have extended their credit assessments to new market segments, resulting in new rating scales and new credit rating types. Therefore, it is necessary to update the mappings of the concerned ECAIs.          

    Since the adoption of Regulation 2019/2028, two additional credit rating agencies have been registered in accordance with Credit Rating Agencies Regulation (No 1060/2009), while two other ECAIs for which Regulation 2016/1799 provided a mapping have been deregistered. As Article 136(1) of CRR requires the specification of mappings for all ECAIs, the Regulation 2016/1799 is being amended to provide a mapping for the newly registered ECAIs and to remove the mapping for the deregistered ECAIs. In addition, one ECAI that registered in accordance with the Credit Rating Agencies Regulation and for which a mapping was provided in Regulation 2016/1799 has amended the symbols used to denote the rating categories of its rating scales. Thus, it is necessary to amend the mapping for that ECAI to reflect the current symbols used by that ECAI. Therefore, Regulation 2016/1799 has been amended accordingly. Annex III to Regulation 2016/1799 has been replaced by the text set out in the Annex to Regulation 2021/2005. The Regulation 2021/2005 shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union. 


    Related Links

    Effective Date: December 07, 2021 (ECAI Rule)

    Keywords: Europe, EU, Banking, Securities, CRR2, Corrigendum, Regulatory Capital, Market Risk, ECAI, Mapping, CRR, Basel, CRA Regulation, Credit Risk, Credit Quality Steps, EC

    Featured Experts
    Related Articles

    EBA Launches Stress Tests for Banks, Issues Other Updates

    The European Banking Authority (EBA) launched the 2023 European Union (EU)-wide stress test, published annual reports on minimum requirement for own funds and eligible liabilities (MREL) and high earners with data as of December 2021.

    January 31, 2023 WebPage Regulatory News

    EBA Proposes Standards for IRRBB Reporting Under Basel Framework

    The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023.

    January 31, 2023 WebPage Regulatory News

    FED Issues Further Details on Pilot Climate Scenario Analysis Exercise

    The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.

    January 17, 2023 WebPage Regulatory News

    US Agencies Issue Several Regulatory and Reporting Updates

    The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.

    January 04, 2023 WebPage Regulatory News

    ECB Issues Multiple Reports and Regulatory Updates for Banks

    The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.

    January 01, 2023 WebPage Regulatory News

    HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements

    The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.

    December 30, 2022 WebPage Regulatory News

    EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR

    The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.

    December 29, 2022 WebPage Regulatory News

    CBIRC Revises Measures on Corporate Governance Supervision

    The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.

    December 29, 2022 WebPage Regulatory News

    HKMA Publications Address Sustainability Issues in Financial Sector

    The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.

    December 23, 2022 WebPage Regulatory News

    EBA Updates Address Basel and NPL Requirements for Banks

    The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.

    December 22, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8700