EBA欧洲银行-Roadmap-for-IFRS-9-deliverables_7页_347kb

IFRS 9 Roadmap Summary

Core Content

The European Banking Authority (EBA) has outlined a roadmap for the implementation and monitoring of IFRS 9, focusing on both qualitative and quantitative aspects. The objective is to ensure a high-quality and consistent application of the standard across EU institutions, particularly in relation to expected credit loss (ECL) calculations, which have a direct impact on own funds and regulatory ratios.

Main Deliverables and Key Information

1. Purpose of the Roadmap

• The EBA is monitoring the effective implementation of IFRS 9 in the EU.
• The roadmap outlines the planned deliverables, prioritises them, and provides a timeline for their delivery.
• IFRS 9 is a complex standard, and post-implementation review is crucial to assess its full effects.

2. Quantitative Monitoring

• The EBA plans to conduct a benchmarking exercise to evaluate the variability in ECL outcomes due to different methodologies, models, inputs, and scenarios.

• The exercise will focus on:

  • Macroeconomic scenarios and variables
  • Adjustments to internal ratings-based (IRB) models
  • Data management challenges
  • Use of simplified approaches, including proxies and overlays

• The benchmarking will initially be limited to low default portfolios (LDPs), including sovereigns, institutions, and large corporates.

• In the first phase, the EBA will collect data on probability of default (PD) for these LDPs and will use a common sample of counterparties.

• The integration of loss given default (LGD) and exposure at default (EAD) will follow in subsequent phases.

• The EBA is aware that focusing on high default portfolios (HDPs), especially for SME loans, will be more meaningful in the long term but requires more complex analysis and is not planned before 2021.

3. Qualitative Monitoring

• The EBA collects qualitative information on how institutions model ECL, including:

  • Determining a significant increase in credit risk
  • Use of scenarios and forward-looking information
  • Time horizons and simplifications

• IRB banks will be included in the quantitative analysis once IFRS 9 parameters are integrated into the ITS.

• SA banks will be included in the qualitative phase but not in the quantitative phase initially due to limited modelling expertise.

4. Temporary Data Collection

• A temporary ad hoc quantitative data collection is being launched to test the parameters before they are integrated into the ITS.
• The sample includes 54 banks, with 39 being mainly IRB and 15 mainly SA.
• The data collection is expected to end by November 2019, with feedback to participating institutions in H1 2020.

5. Stakeholder Engagement

• The EBA has engaged with professional associations, selected banks, and external auditors.
• Bilateral meetings with selected institutions have been organised to discuss technical details.
• The EBA Banking Stakeholder Group has been kept informed throughout the process.

Tentative Timeline

Summary of Key Points

• Qualitative and quantitative monitoring are central to the EBA's approach.
• IRB banks are prioritised in the quantitative phase, while SA banks are initially included in the qualitative phase.
• The benchmarking exercise is a medium- to long-term project, with the full process expected to take up to 3 years.
• Temporary ad hoc data collection is used to test IFRS 9 parameters before their integration into the ITS.
• The EBA will publish follow-up reports and maintain a Risk Dashboard with aggregated country-level indicators.
• Stakeholder engagement is ongoing and will continue throughout the process.

This roadmap reflects the EBA's commitment to ensuring consistent and high-quality implementation of IFRS 9, while also addressing the challenges and complexities associated with its application.