FED proposed to extend for three years, without revision, the information collection on Basel II Interagency Pillar 2 Supervisory Guidance, also known as the Pillar 2 Guidance (FR 4199; OMB Control Number: 7100-0320). This report relates to the advanced approaches framework, which requires certain banks and bank holding companies to use an internal ratings-based approach to calculate regulatory credit risk capital requirements and advance measurement approaches to calculate regulatory operational risk capital requirements. Comments must be submitted on or before December 21, 2018.
A bank is required to comply with the advanced approaches framework if it meets either of the two independent threshold criteria: consolidated total assets of USD 250 billion or more, as reported on the most recent year-end regulatory reports; or consolidated total on-balance sheet foreign exposure of USD 10 billion or more at the most recent year-end. Furthermore, a bank holding company is required to comply with the advanced approaches framework if the holding company has either of the following:
- Consolidated total assets (excluding assets held by an insurance underwriting subsidiary) of USD 250 billion or more, as reported on the most recent year-end regulatory reports
- Consolidated total on-balance sheet foreign exposure of USD 10 billion or more at the most recent year-end
- A subsidiary depository institution that meets the criteria to be subject to the advanced approaches rule or elects to adopt the advanced approaches
As of year-end 2017, 13 bank holding companies meet the above criteria and are, therefore, subject to the advanced approaches rule. Additionally, some banks or bank holding companies may voluntarily decide to adopt the advanced approaches framework.
Related Link: Proposed Rule in Federal Register
Comment Due Date: December 21, 2018
Keywords: Americas, US, Banking, FR 4199, Pillar 2, Basel II, FED
Previous ArticleBenoît Cœuré of ECB Speaks on Future of FMIs
EIOPA submitted—to the European Parliament, the Council of the European Union, and EC—its 2020, fifth, and last annual report on long-term guarantee measures and measures on equity risk.
The BIS Innovation Hub Swiss Centre, SNB, and the financial infrastructure operator SIX announced the successful completion of a joint proof-of-concept (PoC) experiment as part of the Project Helvetia.
EBA published the final draft regulatory technical standards for calculation of own funds requirements for market risk, under the standardized and internal model approaches of the Fundamental Review of the Trading Book (FRTB) framework.
EIOPA published discussion paper on a methodology for the potential inclusion of climate change in the Solvency II (sometimes also written as SII) standard formula when calculating natural catastrophe underwriting risk.
EU published, in the Official Journal of the European Union, corrigenda to the Directive and the Regulation on the prudential requirements and supervision of investment firms.
MAS proposed amendments to certain regulations, notices, and guidelines arising from the Banking (Amendment) Act 2020.
PRA published a statement that explains when to expect further information on the PRA approach to transposing the Capital Requirements Directive (CRD5), including its approach to revisions to the definition of capital for Pillar 2A.
RBNZ launched consultations on the scope of the Insurance Prudential Supervision Act (IPSA) 2010 and on the associated Insurance Solvency Standards.
SRB published the work program for 2021-2023, setting out a roadmap to further operationalize the Single Resolution Fund and to achieve robust resolvability of banks under its remit over the next three years.
EIOPA is consulting on the relevant ratios to be mandatorily disclosed by insurers and reinsurers falling within the scope of the Non-Financial Reporting Directive as well as on the methodologies to build these ratios.