2021 No. 1078
The Capital Requirements Regulation (Amendment) Regulations 2021
Made
Coming into force
The Treasury, in exercise of the powers conferred by sections 3 and 45 of the Financial Services Act 20211 and section 8(1) of, and paragraph 21 of Schedule 7 to, the European Union (Withdrawal) Act 20182, make the following Regulations.
The Treasury consider that the provisions revoked by these Regulations which are to be replaced by general rules to be made by the Prudential Regulation Authority will be adequately replaced; that where provisions revoked by these Regulations are not to be replaced by general rules, it is appropriate for those provisions not to be replaced; and that where a provision of the Capital Requirements Regulation connected with provision relating to a matter listed in section 3(2) of the Financial Services Act 2021 is revoked, the revocation is necessary or desirable in order to maintain or improve the coherence of the prudential regime concerned.C1
A draft of these Regulations has been laid before and approved by a resolution of each House of Parliament, in accordance with section 3(7) of the Financial Services Act 2021 and paragraph 1(1) of Schedule 7 to the European Union (Withdrawal) Act 2018.C1
Citation, commencement and extentI21
1
These Regulations may be cited as the Capital Requirements Regulation (Amendment) Regulations 2021 and come into force on 1st January 2022.
2
These Regulations extend to England and Wales, Scotland and Northern Ireland.
Amendment of the Capital Requirements RegulationI132
The Capital Requirements Regulation3 is amended as follows.
Title I of Part One: subject matter, scope and definitionsI13
In Article 4 (definitions), in paragraph (1A)4, after the definition of “Bank” insert—
“CRR rules” has the meaning given by section 144A of FSMA (CRR rules);
Title II of Part One: level of application of requirementsI34
1
Title II of Part One (comprising Articles 6 to 24) (level of application requirements) is amended as follows.
2
In Article 65 (application of requirements on an individual basis: general principles)—
a
in paragraph 1, for “Parts Two to Five and Eight” substitute “Part Two, Part Three F1... and Chapter 2 of Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation6 (provisions applicable to all securitisations)”;
F2b
omit paragraphs 3 to 5.
3
In Article 77 (derogation from the application of prudential requirements on an individual basis), in paragraph 3(a) and (b), for “parent institution in a Member State” substitute “UK parent institution”.
4
Omit Article 88 (derogation from the application of liquidity requirements on an individual basis).
5
In Article 119 (application of prudential requirements on a consolidated basis: general treatment)—
F3a
in paragraph 1, for “Parts Two, Three, Four, Seven and Seven A on the basis of their consolidated situation, with the exception of point (d) of Article 430(1)” substitute “Parts Two and Three on the basis of their consolidated situation”
b
omit paragraph 4;
F4c
in paragraph 6, in point (a) of the third subparagraph, for “2, 3, 4, 6, 7, 7A and 8” substitute “Two and Three”
.
F56
Omit Article 13 (application of disclosure requirements on a consolidated basis).
7
In Article 18(1) (methods of prudential consolidation), omit the second sentence.
8
Omit Article 22 (sub-consolidation in cases of entities in third countries).
Chapter 2 of Title I of Part Two (own funds and eligible liabilities): Common Equity Tier 1 capitalI45
1
Chapter 2 of Title I of Part Two (Common Equity Tier 1 capital) is amended as follows.
2
Omit Article 3611 (deductions from Common Equity Tier 1 items).
3
Omit Article 41(2)12 (deduction of defined benefit pension fund assets).
Part Three: capital requirementsI56
1
Part Three (comprising Articles 92 to 386) (capital requirements) is amended as follows.
2
In Title I (general requirements, valuation and reporting), omit—
a
in Chapter 1 (comprising Articles 92 to 94)13 (required level of own funds), Article 94 (derogation from own funds requirements for small trading book business);
b
Chapter 2 (comprising Articles 99 to 101)14 (calculation and reporting requirements);
c
Chapter 3 (comprising Articles 102 to 106)15 (trading book).
3
In Title II (capital requirements for credit risk)—
a
omit Article 12816 (risk weights: items associated with particular high risk);
b
omit Article 13217 (exposures in the form of units or shares in collective investment undertakings);
c
omit Article 132a18 (risk weights: approaches for calculating risk-weighted exposure amounts of collective investment undertakings);
d
omit Article 15219 (internal ratings-based approach to credit risk: treatment of exposures in the form of units or shares in collective investment undertakings);
e
omit Article 158 (internal ratings-based approach to credit risk: treatment by exposure type);
f
in Chapter 6 (comprising Articles 271 to 311) (counterparty credit risk)—
i
in Article 272 (definitions for the purposes of Chapter 6 of Title II of Part Three and Title VI of Part Three), omit—
aa
in the heading before point (4), “, hedging sets,”;
bb
point (5) (“risk position”);
cc
point (6) (“hedging set”);
dd
point (8) (“margin threshold”);
ee
point (12) (“Current Market Value”);
ff
point (26) (“payment leg”);
ii
omit—
aa
section 2 (comprising Article 273) (methods for calculating the exposure value);
bb
section 3 (comprising Article 274) (mark-to-market method);
cc
section 4 (comprising Article 275) (original exposure method);
dd
section 5 (comprising Articles 276 to 282)20 (standardised method);
ee
section 9 (comprising Articles 300 to 311)21 (own funds requirements for exposures to a central counterparty).
4
In Title III (own funds requirements for operational risk), omit Article 31622 (basic indicator approach to own funds requirements for operational risk: relevant indicator).
5
In Title VI (own funds requirements for credit valuation adjustment risk), omit Article 385 (alternative to using CVA methods to calculating own funds requirements for credit valuation adjustment risk).
Part Four: large exposuresI67
In Part Four (comprising Articles 387 to 403)23 (large exposures)—
a
omit Articles 387 to 390 and 392 to 403;
b
in Article 391 (definition of an institution for large exposures purposes)—
i
omit the first paragraph;
ii
in the second paragraph, for “the first paragraph” substitute “provision in CRR rules that governs the calculation of large exposures in respect of institutions authorised in third countries which apply prudential supervisory and regulatory requirements at least equivalent to those applied in the United Kingdom”;
iii
after the second paragraph, insert—
A country or territory listed in Annex I, II or III of Commission Implementing Decision 2014/908/EU of 12 December 2014 on the equivalence of the supervisory and regulatory requirements of certain third countries and territories for the purposes of the treatment of exposures according to Regulation (EU) No 575/2013 of the European Parliament and of the Council is to be treated as equivalent for the purposes of the rules mentioned in the preceding paragraph of this Article until regulations made under that paragraph come into force as respects that country.
Part Six: liquidityI78
Omit Part Six (comprising Articles 411 to 428)24 (liquidity).
F14Part Seven: leverageI148A
Omit Articles 429, 429a, 429b and 430(1).
Part Seven A: reporting requirementsI89
Omit Articles 430(7) and 430b25 (reporting requirements).
Part Eight: disclosure by institutionsI9F610
Omit Part Eight (disclosure by institutions: comprising Articles 431 to 455).
Part Nine: regulations, enhanced prudential measures and technical standardsI1011
1
Part Nine (comprising Articles 456 to 464B) (regulations, enhanced prudential measures and technical standards) is amended as follows.
2
In Article 45627 (Treasury power to make regulations modifying the Capital Requirements Regulation)—
a
in paragraph 1—
i
in point (a), for “, 300, 381 and 411” substitute “and 381”;
ii
in point (b), for “, 300, 381 and 411” substitute “and 381”;
iii
in point (h), omit “Articles 301 to 311 of this Regulation and”;
F7iv
omit points (i) and (j);
b
in paragraph 2, for “and 383 to 386” substitute “, 383, 384 and 386”.
3
In Article 45728 (Treasury power to make regulations: technical adjustments and corrections)—
a
in point (a), for “Articles 111 to 134, and in Articles 143 to 191” substitute “Articles 111 to 127, 129 to 131, 133, 134, 143 to 151, 153 to 157 and 159 to 191”;
b
in point (d), for “to 311” substitute “and 283 to 299”;
c
in point (e), for “Articles 315 to 324” substitute “Articles 315 and 317 to 324”;
d
in point (i), omit “and Article 99”.
4
In Article 45829 (enhanced prudential measures directions and recommendations: interpretation), in paragraph 1—
F8a
in the definition of “relevant prudential area”, omit points (ii) to (iv);
b
omit the definition of “the Liquidity Commission Delegated Regulation”.
F95
In Article 459 (Treasury power to make regulations: prudential requirements), omit points (b) and (c).
6
Omit Article 46031 (Treasury power to make regulations: liquidity).
7
Omit Article 461 (review of the phasing-in of the liquidity coverage requirement).
Part Ten: transitional provisions, reports, reviews and amendmentsI1112
1
Part Ten (comprising Articles 465 to 520) (transitional provisions, reports, reviews and amendments) is amended as follows.
2
Omit Article 469 (transitional provisions: deductions from Common Equity Tier 1 items).
3
Omit Article 49232 (transitional provisions for disclosure of own funds).
4
Omit Article 49333 (transitional provisions for large exposures).
5
In Article 49734 (own funds requirements for exposures to CCPs), in paragraph 3, for “once, by 12 months,” substitute “by 12 months on each occasion”.
F105A
Omit Articles 499 (leverage), 500b (temporary exclusion of certain exposures to central banks from the total exposure measure in view of the COVID-19 pandemic) and 500d (temporary calculation of the exposure value of regular-way purchases and sales awaiting settlement in view of the COVID-19 pandemic).
6
Omit Article 501b35 (derogation from reporting requirements in Article 430).
Revocation and amendment of other retained direct EU legislationI1213
1
The following instruments are revoked—
a
Commission Delegated Regulation (EU) 2015/61 of 10th October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and Council with regard to liquidity coverage requirement for Credit Institutions36;
b
Commission Implementing Regulation (EU) 2015/233 of 13 February 2015 laying down implementing technical standards with regard to currencies in which there is an extremely narrow definition of central bank eligibility pursuant to Regulation (EU) No 575/2013 of the European Parliament and of the Council37;
c
Commission Implementing Regulation (EU) 2015/2344 of 15 December 2015 laying down implementing technical standards with regard to currencies with constraints on the availability of liquid assets in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council38;
d
Commission Delegated Regulation (EU) 2016/709 of 26 January 2016 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards specifying the conditions for the application of the derogations concerning currencies with constraints on the availability of liquid assets39;
e
Commission Delegated Regulation (EU) 2017/208 of 31 October 2016 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for additional liquidity outflows corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution’s derivatives transactions40.
2
Part 2 (PRA) of the following instruments41 is revoked—
a
Commission Implementing Regulation (EU) No 1423/2013 of 20 December 2013 laying down implementing technical standards with regard to disclosure of own funds requirements for institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council42;
F11aa
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council;
b
Commission Implementing Regulation (EU) No 1030/2014 of 29 September 2014 laying down implementing technical standards with regard to the uniform formats and date for the disclosure of the values used to identify global systemically important institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council43;
c
Commission Delegated Regulation (EU) No 1187/2014 of 2 October 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council as regards regulatory technical standards for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets44;
d
Commission Delegated Regulation (EU) 2015/585 of 18 December 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the specification of margin periods of risk45;
e
Commission Delegated Regulation (EU) 2015/1555 of 28 May 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the disclosure of information in relation to the compliance of institutions with the requirement for a countercyclical capital buffer in accordance with Article 44046;
f
Commission Delegated Regulation (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14)47;
F12fa
Commission Implementing Regulation (EU) 2016/200 of 15 February 2016 laying down implementing technical standards with regard to disclosure of the leverage ratio for institutions, according to Regulation (EU) No 575/2013 of the European Parliament and of the Council;
g
Commission Delegated Regulation (EU) 2017/2295 of 4 September 2017 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for disclosure of encumbered and unencumbered assets48.
3
In Part 2 (PRA) of Commission Delegated Regulation (EU) 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions49—
a
omit Article 1(f) and (g) (subject matter of the Regulation);
b
omit Articles 13 to 19 (deductions from Common Equity Tier 1 items and deduction of defined benefit pension fund assets).
F134
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F15Saving for amendment of existing technical standards instruments made by the Financial Conduct AuthorityI1514
Notwithstanding the revocation of Articles 390(8), 394(4), 415(3a) and 419(5) of the Capital Requirements Regulation made by regulations 7(a) and 8 of these Regulations, the Financial Conduct Authority (“FCA”) retains the power to modify, revoke or amend any technical standards in force immediately before 1 January 2022 which were—
a
adopted by the European Commission before IP completion day; or
b
made by the FCA after IP completion day;
under those Articles.
Saving for permissions granted under the Capital Requirements RegulationI1615
1
Where the effect of these Regulations is to revoke Articles of the Capital Requirements Regulation listed in column 1 of Table 1, any permission granted under an Article listed in column 1 of that Table has effect as if granted under the rule of the PRA Rulebook listed in column 2 of the same row of that Table.
Capital Requirements Regulation | PRA Rulebook |
|---|---|
Article 385 | Article 385 of Chapter 3 of the Credit Valuation Adjustment Risk (CRR) Part |
Article 422(8) | Article 422(8) of Chapter 4 of the Liquidity (CRR) Part |
Article 425(1) | Article 425(1) of Chapter 4 of the Liquidity (CRR) Part |
Article 425(4) | Article 425(4) of Chapter 4 of the Liquidity (CRR) Part |
Article 396(1), paragraph 1 | Article 396(1), paragraph 1 of Chapter 4 of the Large Exposures (CRR) Part |
Article 396(1), paragraph 2 | Article 396(1), paragraph 2 of Chapter 4 of the Large Exposures (CRR) Part |
Article 400(2)(c) | Article 400(2)(c) of Chapter 4 of the Large Exposures (CRR) Part |
Article 400(2)(g) | Article 400(2)(g) of Chapter 4 of the Large Exposures (CRR) Part |
Article 400(2)(h) | Article 400(2)(h) of Chapter 4 of the Large Exposures (CRR) Part |
Article 429(7) | Article 429a(1)(c) of Chapter 3 of the Leverage Ratio (CRR) Part |
Article 429(14) | Article 429a(1)(j) of Chapter 3 of the Leverage Ratio (CRR) Part |
2
Where the effect of these Regulations is to revoke Articles of Commission Delegated Regulation (EU) 2015/61 listed in column 1 of Table 2, any permission granted under an Article listed in column 1 of that Table has effect as if granted under the rule of the PRA Rulebook listed in column 2 of the same row of that Table.
Commission Delegated Regulation (EU) 2015/61 | PRA Rulebook |
|---|---|
Article 8(3) | Article 8(3) of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 12(3) | Article 12(3) of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 17 | Article 17 of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 26 | Article 26 of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 29 | Article 29 of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 33(2) | Article 33(2) of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 33(3) | Article 33(3) of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 33(4) | Article 33(4) of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
Article 34(1) | Article 34(1) of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part |
3
In this regulation, “PRA Rulebook” means the rulebook published by the Prudential Regulation Authority containing rules made by that Authority under the Financial Services and Markets Act 2000 as that rulebook has effect on 1 January 2022.
(This note is not part of the Regulations)
Regulations: power to modify conferred (11.7.2023) by Financial Services and Markets Act 2023 (c. 29), ss. 3, 86(3), Sch. 1 Pt. 2; S.I. 2023/779, reg. 2(d)