This content is from: Local Insights

Italy

The Bank of Italy has recently amended Chapter LXI of the Istruzioni di Vigilanza (Supervisory Rules) which govern capital adequacy in relation to market risk and apply to all banks and banking groups with the exception of Italian branches of non-EU banks whose registered offices are in countries belonging to the Group of Ten.

The amendment is contained in the 134th updating of Circular No.4 of the Bank of Italy and is the latest stage of the implementating definition of 'qualifying debt instruments' (ie those instruments to which a lower risk coefficient applies for the calculation of the specific interest rate risk for traded debt instruments). Under the new provisions, the category of 'qualifying debt instruments' now includes:

  • instruments which (i) are issued by EU issuers and are listed in the markets of the countries of origin or issued by residents of countries belonging in the 'A Zone' and listed in a regulated market whose listing admission rules are equivalent on the basis of criteria set forth by CONSOB to those provided for EU countries' regulated markets; and (ii) meet certain economic adequacy and liquidity requirements; and
  • instruments which (i) are issued by EU issuers and are listed in the markets of the countries of origin or issued by residents of countries belonging in the A Zone and listed in a regulated market whose listing admission rules are equivalent on the basis of criteria set forth by CONSOB to those provided for EU countries' regulated markets; and (ii) are classified as having adequate quality (investment grade) by at least two recognized rating agencies or by at least a single recognized rating agency provided no other recognized rating agency has attributed a lower rate.

For the purposes of the law 'A Zone' is defined to mean all countries belonging to the OECD area and those countries which have entered into special loan agreements and the general funding agreements of the IMF.

Instant access to all of our content. Membership Options | One Week Trial