EBA欧洲银行-EBA-Press-NewsletterOctober-2016_12页_538kb

Summary of EBA Publications and Activities (October-December 2016)

I. Upcoming EBA Publications (October-December 2016)

II. Review of Internal Models

Key Points

• The IRB approach was introduced in 2006 to improve risk sensitivity and management practices in capital requirements.
• The high flexibility of the framework led to inconsistent risk estimates and capital requirements across EU institutions.
• The EBA initiated a review to address these discrepancies, focusing on enhancing comparability and reliability.
• The review roadmap, published in February 2016, outlines four phases:
  • Phase 1: Completed with the publication of the final draft RTS on the assessment methodology for credit risk models.
  • Phase 2: Completed with the final draft RTS on the materiality threshold for credit obligations past due.
  • Phase 3: Ongoing; consultation paper on PD and LGD estimation is expected by the end of 2016.
  • Phase 4: Not started yet; expected to begin in 2017, focusing on credit risk mitigation (CRM).

Objectives

• Reduce non-risk based variability of risk parameters.
• Ensure supervisory consistency through common methodologies.
• Increase transparency by providing standardised templates for risk parameter disclosures.
• Maintain risk sensitivity of capital requirements.

Collaboration with Basel

• The EBA's work is aligned with the Basel Committee's broader reforms.
• While Basel focuses on limiting choices for low default portfolios, the EBA provides technical clarifications and definitions for the IRB approach.

III. Key EBA Publications (June-October 2016)

EBA Consultations

• Consultation Paper on Guidelines on ICT Risk Assessment under the SREP: Launched on 06/10/2016, aimed at promoting common procedures for ICT risk assessment.
• Consultation Paper on draft RTS and ITSs under PAD: Published on 22/09/2016, standardised terminology and format for fee disclosure.
• Consultation Paper on draft Guidelines on PII under PSD2: Published on 22/09/2016, focusing on professional indemnity insurance requirements.
• Consultation on Guidelines on PII under PSD2: Published on 12/08/2016, on strong customer authentication and secure communication.
• Consultation on Guidelines on Connected Clients: Published on 26/07/2016, reviewing the treatment of connected clients for large exposures.
• Consultation on Guidelines on credit risk management practices and accounting for expected credit losses: Published on 26/07/2016, following Basel Committee guidance from December 2015.

EBA Public Consultations

• Consultation on Report on the appropriate target level basis for resolution financing arrangements under BRRD: Published on 25/07/2016, recommending a shift from covered deposits to total liabilities-based measure.
• Consultation on EBA interim report on MREL: Published on 19/07/2016, informing future legislative proposals on TLAC and MREL.
• Consultation Paper on Guidelines on disclosure requirements under Part Eight of Regulation (EU): Published on 29/06/2016, aligned with Basel Committee updates on Pillar 3 requirements.
• Guidelines on corrections to modified duration for debt instruments: Published on 11/10/2016, to reflect prepayment risk.
• Guidelines on implicit support for securitisation transactions: Published on 03/10/2016, clarifying arm's length conditions.
• Guidelines on remuneration of sales staff: Published on 28/09/2016, to prevent miss-selling and reduce conduct costs.
• Guidelines on default definition: Published on 28/09/2016, harmonising the definition of default across the EU.
• Guidelines on communication between competent authorities: Published on 26/07/2016, outlining communication procedures between supervisors and auditors.

EBA Technical Standards

• Final draft ITS on procedures and forms for qualifying holdings: Published on 22/09/2016, streamlining information exchanges.
• Amended technical standards on benchmarking of internal approaches: Published on 04/08/2016, for the 2017 exercise.
• Final draft RTS on separation of payment card schemes and processing entities: Published on 27/07/2016, ensuring independence in accounting and decision-making.
• Final draft RTS on preferential treatment in cross-border intragroup financial support: Published on 27/07/2016, specifying criteria for preferential treatment.
• Final draft technical standards on assessment methodology for credit risk models: Published on 21/07/2016, harmonising supervisory assessment methodologies.
• Final draft RTS on specialised lending exposures: Published on 13/06/2016, for institutions using the supervisory slotting criteria approach.

IV. EBA Opinions

• EBA Opinion on the First Part of the Call for Advice on Investment Firms: Published on 20/10/2016, responding to the Commission's request on prudential regime applicability.
• ESAs Opinion on non-centrally cleared OTC derivatives: Published on 08/03/2016, expressing disagreement with proposed amendments to RTS on risk mitigation techniques.

V. EBA Guidelines

• Guidelines are issued once published in all relevant EU official languages and are legally binding once adopted.
• Competent authorities must inform the EBA on compliance within two months of publication.
• Guidelines ensure consistent and effective supervisory practices across the EU.