EBA欧洲银行-Comments-to-CRDIV_17页_241kb

CEBS Comments on the Consultation Paper on CRD IV Changes

Core Content

CEBS has provided detailed feedback on the Commission services' Consultation Paper regarding potential changes to the Capital Requirements Directive (CRD IV). The comments are focused on several key areas: liquidity standards, definition of capital, leverage ratio, and countercyclical measures. CEBS emphasizes the need for proportionality, flexibility, and alignment with international standards such as the Basel framework, while also highlighting concerns about the practical implementation of new rules and their potential impact on the financial system.

Main Points and Key Information

Liquidity Standards

• Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) are proposed as mandatory requirements for credit institutions to meet at all times.
• CEBS supports the idea of stress testing as a key component of liquidity risk management, advocating for both legislative and institution-specific scenarios.
• The definition of high-quality liquid assets should be based on fundamental and market-related characteristics, not just legal definitions. CEBS also recommends that the central bank eligibility of these assets be considered.
• CEBS warns that a narrow definition of liquid assets may lead to high implementation costs and negative macroeconomic impacts. They suggest that the calibration of outflow percentages and haircuts should be based on the results of the EU QIS.
• CEBS recommends that investment firms be subject to liquidity standards only if they are systemically important or highly leveraged.

Net Stable Funding Ratio (NSFR)

• CEBS appreciates the introduction of a long-term funding standard that considers both assets and liabilities.
• They emphasize the need for careful calibration of the NSFR, especially regarding its time horizon, based on the EU QIS.

Definition of Capital

• CEBS supports the use of CEBS guidelines in the final CRD IV proposals and believes that the principles from these guidelines should be reflected in the definition of capital.
• They highlight the importance of loss absorbency mechanisms in hybrid instruments and recommend that all such instruments should include a conversion or write-down feature.
• CEBS is concerned that equity-like instruments may not have sufficient loss absorbency in the proposed changes, which could reduce the quality of non-Core Tier 1 capital.
• They also stress that tax treatment should not be considered in the eligibility criteria for non-Core Tier 1 capital.

Prudential Filters and Deductions

• CEBS notes the potential procyclicality of excluding deferred tax assets and minority interests from Core Tier 1 capital.
• They recommend that minority interests be treated in a way that reflects their risk support role at the subsidiary level, possibly by recognizing them up to the subsidiary's capital requirement.
• For deferred tax assets, CEBS suggests considering a non-deductible threshold to avoid discouraging early credit provisioning.
• The deduction of participations in other institutions and insurance companies should be aligned with existing CRD and FCD provisions to prevent double counting of capital.
• Unrealised gains and losses should be carefully assessed, especially when they relate to illiquid assets or valuation models. CEBS considers transitional measures necessary if changes to prudential filters are introduced.

Scope of Application

• CEBS supports the application of liquidity standards to credit institutions on a stand-alone basis, with waivers allowed under certain conditions.
• They suggest that national parameters should be kept to a reasonable level to avoid complexity and arbitrage.
• CEBS recommends that transitional provisions be introduced to ensure a smooth implementation of new rules, especially for small and medium-sized banks.

Monitoring Tools

• CEBS welcomes the introduction of harmonized monitoring tools but suggests that they should be incorporated into technical standards rather than the CRD itself.
• They emphasize the need for consistency in the implementation of these tools across the EU and warn against the procyclical bias that may result from excessive transparency.

Grandfathering and Transitional Provisions

• CEBS stresses the importance of clear and appropriate transitional provisions to prevent opportunistic behavior and ensure the integrity of reforms.
• They call for concrete technical proposals to be developed quickly to support the implementation of new rules.

Conclusion

CEBS's comments are centered around the practicality, proportionality, and consistency of the proposed changes to CRD IV. They advocate for flexibility in definitions and alignment with international standards, while also emphasizing the need for transitional measures to ensure a smooth and fair implementation. CEBS also highlights the importance of national market specifics and supervisory coordination in the application of these standards.