2016年-EBA欧洲银行管理局_EBA_Report_on_impact_assessment_of_IFRS9_38页_595kb

IFRS 9 Impact Assessment Report by EBA (November 2016)

Core Content

The European Banking Authority (EBA) conducted an impact assessment of IFRS 9 on a sample of 58 institutions across the European Economic Area (EEA) in January 2016, prior to the standard's implementation in the EU. This was an own-initiative project, not linked to the legislative endorsement of IFRS 9. The aim was to understand the potential impact on regulatory own funds and to support the EBA in assessing the interaction between IFRS 9 and other prudential requirements.

Main Observations

Qualitative Aspects

• Implementation Stage: Most banks (91%) are in the design phase for IFRS 9 implementation, with only a few in the building phase. No banks were in the testing phase.
• Small vs Large Banks: Smaller banks are generally lagging behind in their preparation for IFRS 9. This may be due to smaller scale and limited resources.
• Stakeholder Involvement: Key stakeholders such as the board of directors, audit committees, and senior management should be involved in the project. Ownership by senior management and adequate resource allocation are essential for successful implementation.
• Parallel Runs: Many banks plan to perform parallel runs to test IFRS 9, but some may limit them due to time constraints. Parallel runs are considered good practice.
• Use of Existing Systems: Banks aim to leverage existing definitions, processes, and models for regulatory and credit risk management, but they must ensure these are fit for purpose under IFRS 9.
• Data Challenges: Data quality and availability are the most significant challenges in the implementation of IFRS 9.
• Classification and Measurement: The impact of changes in classification and measurement requirements is not very significant for most banks, especially those with plain vanilla products.
• Impairment Impact: The use of practical expedients (such as the 30 days past due test) may introduce bias in ECL estimation. Adjustments should be made to counteract this bias and subject to appropriate governance.
• Volatility of Profit or Loss: 75% of banks expect IFRS 9 to increase the volatility of profit or loss due to the 'cliff effect' and forward-looking information. However, 16% of banks believe the impact will be less significant, and 9% are unable to assess it at this stage.

Quantitative Aspects

• Total Impact: The main impact of IFRS 9 is driven by impairment requirements, particularly the estimation of lifetime ECL for stage 2 exposures.
• Provisions Increase: The estimated increase in provisions compared to IAS 39 is 18% on average, up to 30% for 86% of respondents.
• Capital Ratios: CET1 and total capital ratio are estimated to decrease by 59 bps and 45 bps on average, respectively, and up to 75 bps for 79% of respondents.
• Methodology and Approach: Most banks use both the Standardised Approach (SA) and the Internal Ratings-Based (IRB) approach for measuring RWAs. For SA banks, any increase in provisions will directly affect CET1, while for IRB banks, the impact depends on the excess/shortfall situation.
• Confidentiality and Aggregation: Information was provided at the consolidated level and will be published in an aggregated form. Individual data remains confidential.
• Limitations: The estimates are preliminary and based on best-efforts. They may not reflect the final methodology and could be affected by changes in the economic environment and model development.

Key Recommendations

• Time and Resources: The EBA emphasizes the importance of allocating sufficient time and resources for the implementation of IFRS 9, especially for smaller banks.
• Governance and Testing: Governance processes and testing (including parallel runs) should be developed and tested to ensure accurate and reliable estimates under IFRS 9.
• Stakeholder Engagement: Continued engagement with banks and auditors is necessary to address implementation issues and ensure high-quality application of IFRS 9.
• Regulatory Guidance: The EBA suggests considering additional regulatory guidance or recommendations regarding the interaction between IFRS 9 and prudential requirements, including transitional arrangements and clarifications on credit risk adjustments.

Areas of Further Work

• Second Impact Assessment: The EBA plans to launch a second impact assessment exercise, which will build on the findings of the first and expect more reliable and precise information.
• Dialogue with Stakeholders: Ongoing dialogue with banks and auditors will help address the challenges and issues identified in the first exercise.
• Regulatory Clarity: The EBA will consider additional guidance on the interaction between IFRS 9 and prudential requirements, including clarifications on regulatory technical standards (RTS) and credit risk calculations.

Summary of Sample

• Number of Institutions: 58 institutions across the EU.
• Size Distribution: 91% of the sample are Systemically Important Institutions (G-SIIs or O-SIIs). Smaller banks (with total assets below EUR 100 billion) are 18 in number, mostly O-SIIs.
• Quantitative Data: 39 banks (67%) provided almost all quantitative data, while 15 (26%) provided partial data and 4 (7%) provided no quantitative data.
• Countries Represented: 20 countries for qualitative responses and 19 for quantitative responses.

Conclusion

The EBA's first impact assessment of IFRS 9 highlights the challenges and opportunities banks face during the transition. While the overall impact on capital ratios and provisions is significant, the quality of the data and the readiness of banks, especially smaller ones, remain critical factors. The EBA will continue to monitor the implementation and plans for a second assessment to gather more accurate and detailed information.