EBA欧洲银行-Report-on-IFRS-9-impact-and-implementation_41页_1mb

Summary of EBA Report: First Observations on the Impact and Implementation of IFRS 9 by EU Institutions

Core Content

This report provides preliminary observations on the initial impact and implementation of IFRS 9 in the European Union (EU) following its first application date on 1 January 2018. It is based on actual data from banks' supervisory reporting (COREP/FINREP templates) and public disclosures, and builds on the previous two impact assessments (first and second IA) conducted by the EBA in 2016 and 2017.

The report is structured into three main parts:

1. Main observations – summarising the quantitative and qualitative effects of IFRS 9.
2. Areas of further work – next steps – outlining the EBA's future monitoring and analysis plans.
3. Introduction and background – explaining the context, objectives, and methodology of the third exercise.

Main Observations

IFRS 9 Initial Impact

• The day-one impact on CET1 (Common Equity Tier 1) ratios is broadly consistent with the forecasted impact from the second IA.
• For 38 banks with data available for both assessments, the negative CET1 impact on a simple average is 47 bps, and on a weighted average is 27 bps, compared to 42 bps (simple average) and 31 bps (weighted average) in the second IA.
• IRB (Internal Ratings-Based) banks experienced a smaller negative impact (–19 bps simple average) than SA (Standardised Approach) banks (–157 bps simple average).
• The increase in provisions on day one was 11.4% for IRB banks and 7.4% for SA banks.
• The CET1 impact varies significantly across the sample, with some banks reporting a positive impact (e.g., due to changes in classification and measurement or a reduction in impairment).

Classification and Measurement

• The classification and measurement impact is considered relevant only for a minority of banks in the sample.
• On a simple average, 80% of financial assets are measured at amortised cost, which is consistent with the second IA.
• The SPPI (Solely Payments of Principal and Interest) test had a limited impact on the classification of financial instruments into the FVPL (Fair Value through Profit or Loss) category.
• 96% of non-trading debt instruments were classified under amortised cost or FVOCI (Fair Value through Other Comprehensive Income), indicating that most passed the SPPI test.

Impairment and Staging Assessment

• 85% of on-balance-sheet exposures are classified as Stage 1, 8% as Stage 2, and 7% as Stage 3.
• Some alignment was observed between the supervisory definition of non-performing exposures and the accounting definition of default.
• Transfers between stages were most frequent from Stage 3 to Stage 1 or 2, suggesting potential inconsistencies in the application of the new model.
• The '90 days past due' criterion did not always result in a transfer to Stage 3, and similar issues were noted for the '30 days past due' criterion for Stage 2.

Impact on Capital Requirements

• The CET1 impact from the add-back of provisions for all banks in the sample corresponds to 118 bps on simple average and 48 bps on weighted average.
• The EBA will continue to monitor the evolution of these figures to ensure consistent and effective application of IFRS 9.

Other Relevant Aspects

• The application of transitional arrangements under IFRS 9 is a key area of focus, with 43% of banks in the sample using them.
• The reporting data for the first application period are unaudited in most cases, and data quality is expected to improve over time.
• The ECL (Expected Credit Loss) model is closely linked to macroeconomic conditions, which are subject to change, and thus the impact of IFRS 9 will require ongoing monitoring.

Areas of Further Work – Next Steps

• The EBA will continue to monitor the implementation of IFRS 9 and its interaction with prudential requirements.
• A benchmarking exercise may be considered in the medium to long term to compare practices across banks.
• The EBA will review the relevance of the indicators used in the analysis and may propose amendments to improve data comparability.
• The EBA will follow up on BCBS (Basel Committee on Banking Supervision) work to ensure alignment between accounting models and regulatory capital frameworks.
• Qualitative aspects of IFRS 9 implementation will be monitored alongside quantitative data.

Key Findings and Recommendations

• The initial impact of IFRS 9 on CET1 ratios is significant but varies across institutions.
• IRB banks are better positioned to manage the transition due to pre-existing models.
• The classification and measurement of financial instruments under IFRS 9 remains largely consistent with IAS 39.
• Transfers between stages and the application of the SPPI test require further scrutiny.
• The EBA will continue to monitor and refine the impact assessment process to ensure accurate and consistent implementation of IFRS 9.

Conclusion

This report represents a first step in understanding the impact of IFRS 9 on EU institutions. It highlights the variability in CET1 impact, the challenges in impairment classification, and the need for ongoing monitoring. The EBA will continue to work with stakeholders and refine its analysis to support effective implementation and regulatory alignment with IFRS 9.