Banking and finance regulatory news, 1 April 2021

Contents

• Download the full regulatory news bulletin
• EU CRR: Corrigendum to Commission Implementing Regulation containing ITS on reporting requirements for market risk
• CRD: Delegated Regulation amending RTS on methodology for identification of G-SIIs and definition of subcategories of G-SIIs
• Bail-in for international debt securities: SRB guidance
• Delegated Regulation amending arrangements for payments of contributions to SRB's administrative expenditures
• BRRD: European Commission adopts Delegated Regulation containing RTS on estimating Pillar 2 and combined buffer requirements for setting MREL

Following a seasonal break, the next update will be published on 19 April 2021.

EU CRR: Corrigendum to Commission Implementing Regulation containing ITS on reporting requirements for market risk

A corrigendum to Commission Implementing Regulation (EU) 2021/453 containing implementing technical standards (ITS) on specific reporting requirements for market risk under the Capital Requirements Regulation (CRR) has been published in the Official Journal of the European Union (OJ).

The corrigendum inserts Annex III to the Implementing Regulation, which contains data point model and the validation formulae used in firms' reporting of certain issues relating to market risk. This Annex was not included in the version of the Implementing Regulation published in the OJ on 16 March 2021.

The Implementing Regulation enters into force on 5 April 2021 and applies from 5 October 2021.

CRD: Delegated Regulation amending RTS on methodology for identification of G-SIIs and definition of subcategories of G-SIIs

Commission Delegated Regulation (EU) 2021/539 amending Delegated Regulation (EU) 1222/2014 supplementing the Capital Requirements Directive (CRD) with regard to regulatory technical standards (RTS) for the specification of the methodology for the identification of global systemically important institutions (G-SIIs) and for the definition of subcategories of G-SIIs has been published in the OJ. The revisions made by the Amending Regulation:

• reflect revisions to the Basel Committee on Banking Supervision (BCBS) framework that were published in July 2018. The BCBS originally intended for the revised assessment methodology to take effect on 1 January 2021, but in April 2020 it postponed the implementation of the framework to 1 January 2022 because of COVID-19;
• introduce an additional EU methodology to allocate G-SII buffer rates to identified G-SIIs. This reflects reforms made by CRD V enabling competent and designated authorities to use sound supervisory judgement to reallocate a G-SII from a higher subcategory to a lower subcategory on the basis of the additional overall score that accounts for the specificities of the European banking union and the Single Resolution Mechanism within cross-border activity indicators; and
• provide that the detailed specification of the indicator values for assessing G-SIIs will now be set in EBA guidelines, rather than by reference to the Basel framework.

The Amending Regulation entered into force on, and applied from, 30 March 2021, with the exception of points (4)(a), 4(b) and (5), which relate to the BCBS' reforms, which will apply from 1 December 2021.

Bail-in for international debt securities: SRB guidance

The Single Resolution Board (SRB) has published guidance on reflecting bail-in in the books of the international central securities depositories (ICSDs). In the guidance, the SRB sets out the elements that banks should consider for the operationalisation of the bail-in in respect of international bearer debt securities (that is, eurobonds) issued by and safekept in the ICSDs, Euroclear Bank and Clearstream Banking Luxembourg. The SRB expects banks to reflect the guidance in their bail-in playbooks as from 2021. The guidance is intended to build on the SRB's Expectations for Banks document and its guidance on bail-in playbooks, which were published in April 2020 and August 2020 respectively.

Delegated Regulation amending arrangements for payments of contributions to SRB's administrative expenditures

Commission Delegated Regulation (EU) 2021/517 amending Delegated Regulation (EU) 2017/2361 as regards the arrangements for the payment of contributions to the administrative expenditures of the SRB has been published in the OJ. The Amending Delegated Regulation entered into force and applied on 26 March 2021.

BRRD: European Commission adopts Delegated Regulation containing RTS on estimating Pillar 2 and combined buffer requirements for setting MREL

The European Commission has adopted a Delegated Regulation containing draft RTS specifying the methodology to be used by resolution authorities to estimate the Pillar 2 and combined buffer requirements at resolution group level. This is for the purpose of setting the minimum requirement for own funds and eligible liabilities requirement (MREL) under the Bank Recovery and Resolution Directive (BRRD).

The Council of the EU and the European Parliament will now scrutinise the draft Delegated Regulation. It will enter into force 20 days after its publication in the OJ.

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Authored by Yvonne Clapham