The Capital Requirements (Amendment) (EU Exit) Regulations 2019

Made: at 9.00 a.m. on 5th September 2019

Laid before Parliament: at 3.00 p.m. on 5th September 2019

Coming into force in accordance with regulation 1

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PART 1 — Introduction

Citation and commencement

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Interpretation

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PART 2 — Amendment of secondary legislation

CHAPTER 1 — Amendment of secondary legislation: European Union (Withdrawal) Act 2018

Amendment of the Exit Regulations

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CHAPTER 2 — Amendment of secondary legislation: European Communities Act 1972

Amendment of the 2008 Regulations

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Amendment of the 2013 Regulations

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Amendment of the 2013 Reporting Regulations

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Amendment of the 2014 Regulations

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PART 3 — Amendment of retained direct EU law

Amendments to the Capital Requirements Regulation

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Article 1 (scope)

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Article 2 (supervisory powers)

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Article 4 (definitions)

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Article 4A (definitions: regulators' rules)

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Article 6 (general principles)

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Article 11 (general treatment)

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Article 12a (consolidated calculation for G-SIIs with multiple resolution entities)

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Article 13 (application of disclosure requirements on a consolidated basis)

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Article 18 (methods of prudential consolidation)

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Article 26 (Common Equity Tier 1 items)

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Article 28 (Common Equity Tier 1 instruments)

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Article 36 (deductions from Common Equity Tier 1 items)

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Article 47c (deduction for non-performing exposures)

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Article 52 (additional Tier 1 instruments)

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Article 54 (write down or conversion of Additional Tier 1 instruments)

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Article 63 (Tier 2 instruments)

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Article 72a (eligible liabilities items)

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Article 72b (eligible liabilities instruments)

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Article 72e (deductions from eligible liabilities items)

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Article 78 (supervisory permission to reduce own funds)

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Article 78a (permission to reduce eligible liabilities instruments)

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Article 81 (minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital)

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Article 82 (qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds)

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Article 92a (requirements for own funds and eligible liabilities for G-SIIs)

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Article 92b (requirement for own funds and eligible liabilities for non-EU G-SIIs)

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Article 117 (exposures to multilateral development banks)

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Article 118 (exposures to international organisations)

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Article 124 (exposures secured by mortgages on immovable property)

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Article 132a (approaches for calculating risk-weighted exposure amounts of CIUs)

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Article 164 (loss given default (LGD))

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Article 277 (transactions with a linear risk profile)

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Article 279a (supervisory delta)

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Article 325 (approaches for calculating the own funds requirements for market risk)

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Article 325g (own funds requirements for curvature risk)

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Article 325h (aggregation of risk-class specific own funds requirements for delta, vega and curvature risks)

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Article 325i (treatment of index instruments and multi-underlying options)

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Article 325j (treatment of collective investment undertakings)

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Article 325u (own funds requirements for residual risks)

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Article 325w (gross jump-to-default amounts)

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Article 325ae (risk weights for general interest rate risk)

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Article 325ag (correlations across buckets for general interest rate risk)

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Article 325ah (risk weights for credit spread risk for non-securitisations)

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Article 325ak (risk weights for credit spread risk for securitisations included in the ACTP)

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Article 325ap (risk weights for equity risk)

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Article 325as (risk weights for commodity risk)

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Article 325av (risk weights for foreign exchange risk)

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Article 325az (alternative internal model approach and permission to use alternative internal models)

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Article 325bc (partial expected shortfall calculations)

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Article 325bd (liquidity horizons)

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Article 325be (assessment of the modellability of risk factors)

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Article 325bf (regulatory back-testing requirements and multiplication factors)

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Article 325bg (profit and loss attribution requirement)

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Article 325bh (requirements on risk measurement)

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Article 325bk (calculation of stress scenario risk measure)

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Article 325bp (particular requirements for an internal default risk model)

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Article 390 (calculation of the exposure value)

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Article 391 (definition of an institution for large exposures purposes)

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Article 394 (reporting requirements)

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Article 396 (compliance with large exposures requirements)

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Article 403 (substitution approach)

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Article 415 (reporting obligation and reporting format)

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Article 419 (currencies with constraints on the availability of liquid assets)

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Article 430 (reporting on prudential requirements and financial information)

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Article 430b (specific reporting requirements for market risk)

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Article 430c (feasibility report on the integrated reporting system)

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Article 434a (uniform disclosure formats)

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Article 460 (liquidity)

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Article 461a (alternative standardised approach for market risk)

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Article 497 (own funds requirements for exposures to CCPs)

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Article 500 (adjustment for massive disposals)

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Article 501a (adjustment to own funds requirements for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services)

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Article 501b (derogation from reporting requirements)

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Article 519c (compliance tool)

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Signed

Mike Freer — Rebecca Harris — Two of the Lords Commissioners of Her Majesty's Treasury

Explanatory note

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Footnotes

[^f00001]: 1972 c.68. Section 2(2) was amended by section 27 of the Legislative and Regulatory Reform Act 2006 (c.51) and by section 3 of, and the Schedule to, the European Union (Amendment) Act 2008 c.7. By virtue of the amendment of section 1(2) by section 1 of the European Economic Area Act 1993 (c.51), regulations may be made under section 2(2) of the European Communities Act 1972 to implement obligations of the United Kingdom created or arising by or under the Agreement on the European Economic Area signed at Oporto on 2nd May 1993 (Cm 2073) and the Protocol adjusting the Agreement signed in Brussels on 17th March 1993 (Cm 2183). Paragraph 1A was inserted into Schedule 2 by section 28 of the Legislative and Regulatory Reform Act 2006 (c.51). The European Communities Act 1972 is repealed with effect from exit day by section 1 of the European Union (Withdrawal) Act 2018.

[^f00002]: 2018 c. 16.

[^f00003]: S.I. 2012/1759.

[^f00004]: Paragraph 5(2) of Schedule 7 to the European Union (Withdrawal) Act 2018. Paragraph 38(1) to (3) of Schedule 7 to the European Union (Withdrawal) Act 2018 allows for regulations under that Act to be combined with regulations, made under other enabling provisions, which are subject to the negative resolution procedure in Parliament.

[^f00005]: S.I. 2008/346.

[^f00006]: S.I. 2013/3115.

[^f00007]: S.I. 2013/3118.

[^f00008]: S.I. 2014/894.

[^f00009]: S.I. 2018/1401.

[^f00010]: Section 236A was inserted by S.I. 2019/325.

[^f00011]: S.I. 2013/1773, as amended by S.I. 2019/328.

[^f00012]: S.I. 2017/752, as amended by S.I. 2018/1201.

[^f00013]: Schedule 3 was inserted by regulation 37 of S.I. 2018/1403.

[^f00014]: 2009 c. 1. So far as is relevant for the purposes of these Regulations, this Act was amended by S.I. ( 2014/3329).

[^f00015]: S.I. 2013/3115, as amended by these Regulations.

[^f00016]: S.I. 2014/894.

[^f00017]: S.I. 2014/894, as amended by these Regulations.

[^f00018]: As inserted by regulation 64(53) of S.I. 2018/1401.

[^f00019]: S.I. 2014/3348, as amended by S.I. 2018/1394.

[^f00020]: As inserted by S.I. 2018/1401.

[^f00021]: S.I. 2015/486, as amended by S.I. 2018/1285.

[^f00022]: S.I. 1999/2979, as amended by S.I. 2019/341.

[^f00023]: S.I. 1999/2979, as amended by S.I. 2019/341.

Editorial notes

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