EBA欧洲银行-28EBA-2016-E-6602920Letter-from-O.-Guersent2C20DG-FISMA-re-EBA-report-on-NSFR2C20Ares282016291729077_2页_207kb

EBA Report on Net Stable Funding Requirements (NSFR) Summary

Core Content

The European Commission has acknowledged the European Banking Authority (EBA) report on the Net Stable Funding Requirements (NSFR) under Article 510 of the Capital Requirements Regulation (CRR). The report was prepared in response to the Commission's Call for Advice from June 2015 and also incorporates the European Systemic Risk Board (ESRB)'s comments on the NSFR standard developed by the Basel Committee on Banking Supervision.

The EBA report highlights that the Basel NSFR standard aligns well with the European banking framework but identifies some European-specific nuances that require further consideration. The Commission is set to consider a legislative proposal on NSFR by the end of 2016, and the EBA report is deemed valuable in this context.

Main Points and Key Recommendations

1. Derivatives Treatment in NSFR

• The EBA is encouraged to provide further technical analysis on the treatment of derivatives within the NSFR framework.
• Specifically, the Commission requests more detailed insights on:
  • The 20% RSF factor applied to gross derivatives liabilities.
  • The recognition of margin received versus margin posted.
• These aspects have not been comprehensively analyzed or publicly consulted at the international level.
• The EBA should:
  • Provide empirical evidence and prudential justification for these elements.
  • Propose alternative, more risk-sensitive policy options.
  • Assess the impact of these provisions on the banking sector.

2. Proportionality Principle

• The Commission emphasizes the importance of the principle of proportionality in the implementation of NSFR.
• It seeks to balance prudential concerns with the promotion of jobs and growth, the diversity of the EU banking sector, and the substantial role of banks in financing the EU economy (around 75% of financing).
• The EBA is requested to:
  • Evaluate alternative policy proposals for implementing proportionality.
  • Consider lower and less frequent reporting requirements.
  • Explore the introduction of a core stable funding ratio for institutions with a low funding risk profile.

3. Timeline and Urgency

• The Commission requests the EBA to provide the additional analysis by July 2016, rather than waiting for an update to the implementing technical standard on NSFR reporting.

4. Impact of NSFR on the Banking Sector

• The EBA report identifies a global stable funding shortfall of EUR 595 billion across the sample of banks (representing 75% of total assets in the EU).
• It concludes that the introduction of NSFR would not have a detrimental effect on bank lending or significant distortions in financial markets.
• However, it acknowledges that some banks may face significant and difficult adjustments due to the funding shortfall.
• The Commission requests a breakdown of the shortfall by type of activity and more details on plausible adjustment scenarios and potential economic impacts.

Conclusion

The EBA report is seen as a comprehensive and helpful analysis that will support the Commission in its legislative considerations on NSFR. The report underscores the need for more detailed analysis on derivatives treatment and proportionality implementation, with a focus on risk sensitivity, reporting requirements, and economic impact. The Commission is eager to receive the EBA's input by July 2016 to align with its own timeline for considering a legislative proposal.