2017年-EBA欧洲银行管理局_EBA_Report_on_results_from_the_2nd_EBA_IFRS9_IA_52页_1mb

EBA Report on Results from the Second EBA Impact Assessment of IFRS 9 Summary

Core Content

This report, published by the European Banking Authority (EBA) on 13 July 2017, summarizes the findings of the second EBA impact assessment exercise on the implementation of IFRS 9 in the European Economic Area (EEA). The exercise aimed to better understand the stage of preparation for IFRS 9 implementation, its estimated impact on regulatory capital, and the interaction between IFRS 9 and other prudential requirements.

Main Observations

Qualitative Aspects

• Implementation Progress: Most banks are in the building or testing phase for IFRS 9 implementation, though some are not sufficiently advanced.
• Stakeholder Involvement: The EBA welcomes increased involvement of key stakeholders, but is concerned about the lack of engagement from boards and audit committees in some cases.
• Data Challenges: Data quality, availability of historical data, and the assessment of 'significant increase in credit risk' are major challenges for banks.
• Methodology and Governance: Banks are encouraged to use sound and consistent methodologies and governance processes when making simplifications or using approximations.
• Classification and Measurement: The impact of changes in classification and measurement is expected to be limited, but operational challenges remain.
• Impairment Requirements: IFRS 9 is expected to increase volatility in profit or loss, primarily due to the 'cliff effect' and forward-looking information in ECL estimation.
• Lending Practices: There is a suggestion that IFRS 9 may influence lending practices, but detailed estimates were not provided.
• Equity Instruments: Long-term investments in equity instruments are a minor part of banks' balance sheets.

Quantitative Aspects

• Impact on Capital Ratios: The estimated impact on Common Equity Tier 1 (CET1) and total capital ratios is limited. On average, CET1 ratio is expected to decrease by 45 bps, and total capital ratio by 35 bps.
• Provisions Increase: The estimated increase in provisions is 13% on average, lower than the 18% increase observed in the first exercise.
• Bank Size Differences: Smaller banks (using mainly the standardised approach) are expected to experience a higher impact on own funds ratios compared to larger banks (using internal ratings-based approach).
• ECL Estimation: The impact of IFRS 9 is mainly driven by the estimation of lifetime ECL for stage 2 exposures, particularly for loans and advances to households and non-financial corporations.
• Data Collection: Most banks provided qualitative and quantitative data, with a higher response rate for quantitative data in the second exercise compared to the first.

Key Findings

• Trends in Impact: The impact of IFRS 9 on regulatory ratios is expected to be limited and not significantly negative.
• Volatility Concerns: IFRS 9 impairment requirements are expected to increase volatility in profit or loss, though some banks believe this will be less severe than under IAS 39.
• Methodological Improvements: Banks are expected to improve their methodologies and models as they approach the initial application of IFRS 9.
• Need for Validation and Governance: A robust validation process and governance framework for ECL models are essential for high-quality implementation of IFRS 9.

Areas of Further Work — The Way Forward

• Short Term:

  • The EBA Guidelines on ECL will guide banks in implementing IFRS 9.
  • The EBA supports a 'static approach' for transitional arrangements, based on the initial impact of IFRS 9 on 1 January 2018.
  • The 2018 EU-wide stress test will incorporate IFRS 9 implementation.
  • Ongoing dialogue with banks, auditors, and competent authorities is necessary to address implementation issues.

• Medium to Long Term:

  • A review of the EBA Guidelines on ECL and analysis of different methodologies for ECL measurement will be undertaken.
  • The EBA will continue to engage with the Basel Committee on Banking Supervision (BCBS) and other EU bodies to ensure proper interaction between the capital framework and the new ECL model.

Key Information

• Sample: 54 institutions across 20 EU Member States, with a range of total assets from EUR 10 billion to more than EUR 2,200 billion.
• Response Rate: 98% of institutions provided qualitative data, and 91% provided quantitative data.
• Reference Date: Most banks used data as of 31 December 2016 (60%) or 30 September 2016 (38%) for their estimations.
• Methodology: Banks were invited to estimate the full quantitative impact of IFRS 9, with data aggregated and individual information kept confidential.
• Caveats: The data collected is based on banks' estimations and may change as IFRS 9 is applied, due to evolving economic conditions and methodologies.

Conclusion

The second EBA impact assessment exercise indicates that while IFRS 9 implementation is progressing, challenges remain, particularly for smaller banks. The EBA emphasizes the need for robust methodologies, validation processes, and governance structures to ensure the accurate and consistent application of IFRS 9. The report also outlines future actions to monitor and support the implementation process, including dialogue with stakeholders and further analysis of ECL measurement practices.