EBA欧洲银行-28EBA-2016-D-6972920Letter-to-O.-Guersent2C20DG-FISMA-re-Calls-for-Advice-to-assist-Commission-revision-signed_4页_316kb

EBA Response to Calls for Advice on Revised International Standards

Core Content

The European Banking Authority (EBA) has responded to the European Commission's calls for advice regarding the implementation of revised international standards in EU law, specifically related to market risk, counterparty credit risk, exposures to central counterparties, large exposures, and the net stable funding ratio (NSFR). The EBA acknowledges the Commission's high priority on these issues and is committed to providing the necessary analysis and input.

Main Points and Key Information

1. Market Risk

• The EBA will provide preliminary descriptive information on the Fundamental Review of the Trading Book (FRTB) and derogation for small trading books by 1 June 2016, based on FINREP/COREP data.
• This analysis will include many caveats due to the diversity in national accounting frameworks and the lack of harmonised reporting for smaller institutions.
• For the impact assessment, the EBA is currently facing difficulties in accessing the Basel Committee on Banking Supervision (BCBS) data, which is essential for a preliminary analysis.
• The EBA will continue to explore this issue and keep the Commission informed, but the analysis may not be based on the most recent QIS data due to tight deadlines.

2. Counterparty Credit Risk

• The EBA will provide preliminary descriptive information on the impact of the standardised approach for measuring counterparty credit risk (SA-CCR) on EU institutions by 1 June 2016, using data from its leverage ratio report.
• For other points, the EBA will provide a partial analysis by 1 November 2016, but this will be based on FINREP/COREP data, which is not sufficiently detailed for counterparty credit risk.
• The EBA notes that the BCBS previously assessed the impact of SA-CCR as very limited, and the lack of granular data makes it difficult to provide a meaningful analysis.

3. Institutions' Exposures to Central Counterparties

• The EBA is unable to provide any meaningful analysis by 1 June 2016 due to the lack of granular data in FINREP/COREP.
• The use of Basel QIS data is no longer considered representative, as it was not focused on the SA-CCR approach.
• Therefore, the EBA has not initiated this work and will not be able to provide evidence for this call for advice.

4. Large Exposures

• The EBA notes that the potential alignment of large exposures requirements to the BCBS framework has already been addressed in the Commission Delegated Regulation (EU) No 1187/2014 and the EBA guidelines (EBA/GL/2015/20).
• The EBA intends to use available COREP data to address other points in the call for advice.
• It will test different types of large exposures' limits and investigate possible changes to the current framework, such as thresholds for reporting.
• The EBA is unclear why the scope of the analysis on the quantitative impact of removing some exemptions is limited to only a few, which may not be the most significant.

5. Net Stable Funding Ratio (NSFR)

• The EBA believes that some of the complementary explanations requested regarding the breakdown of the global stable funding shortfall by type of activity and its economic impact are already included in the report submitted in December.
• The EBA is not aware of any changes to BCBS standards since that report, but will continue to monitor potential updates.
• The EBA has invited the European Systemic Risk Board (ESRB) to work on market liquidity aspects related to the leverage ratio and the upcoming EBA calibration report.
• The EBA will provide quantitative information on the core stable funding ratio based on existing data.

Single Rulebook Q&A Tool

• The EBA has received a request for an overview of possible errors and inconsistencies in the Capital Requirements Regulation (CRR) observed via the Single Rulebook Q&A tool.
• Given the tight timeline, the EBA will focus its work on areas of the CRR that are subject to review by the end of 2016.
• The EBA requests feedback from the Commission on the intention to incorporate previous technical advice into the ongoing CRR review, particularly regarding the treatment of unrealised gains measured at fair value and prudential filters for fair value gains and losses related to derivative liabilities.

Conclusion

The EBA is committed to supporting the Commission in its revision of the own fund requirements, but highlights that the tight deadlines may hinder the ability to provide comprehensive and meaningful analyses, especially for areas requiring detailed data. The EBA proposes a more transparent and continuous engagement process to ensure that its insights can be effectively incorporated into the legislative proposals.