EBA欧洲银行-FBF_CP04_12页_1mb

FBF Response to CEBS Consultation Paper on the New Solvency Ratio: Summary

The French Banking Federation (FBF) has provided detailed feedback on the CEBS consultation paper titled "Towards a Common Reporting Framework (CEBS CP04)", focusing on the implementation of a common reporting framework (COREP) for the banking sector in the EU. The FBF supports the general objective of reducing the compliance burden on the banking industry by introducing a common reporting system, but highlights several concerns regarding the current draft.

Core Content and Main Points

1. General Support and Concerns

• The FBF supports the idea of a single, simplified reporting system in the EU.
• They believe that a common reporting framework is desirable and achievable, especially in the context of increasing supervisory convergence.
• However, the current draft does not effectively reduce the compliance burden.
• The FBF argues that the implementation costs outweigh the potential benefits.
• They suggest that the proposal should focus on best practices rather than all practices.

2. Recommendations on Reporting Frequency

• The FBF advocates for quarterly reporting to be limited to very large groups.
• For necessary reporting, they recommend half-yearly or annual periodicity for specific reports.
• This is to avoid unnecessary burden on smaller groups and to align with the actual needs of the industry.

3. Exclusion of Pillar II Information

• The FBF does not support including Pillar II data in the common reporting framework.
• They argue that Pillar II information should be collected and evaluated through on-site inspections and interviews.
• Pillar II requirements are jurisdiction-specific, and including them would create an unlevel playing field with non-European countries applying Basel 2.

4. Alignment with FINREP

• The FBF emphasizes the need to align COREP data with FINREP data to avoid redundant reporting.
• This would prevent banks from having to report the same figures multiple times without a clear prudential rationale.

5. Use of XML/XBRL

• The FBF does not support the mandatory use of XML/XBRL in internal systems.
• They suggest that XML/XBRL should only be used for external reporting.
• They also note that XBRL may not be suitable for large volumes of data, as it is more suited to small data sets.

Detailed Comments on Templates

Template CA

• Lines 21–24: Should be deleted to align with the revised template CA-IAS.
• Line 26: Should be deleted as it is not linked to the CRD.
• Line 31: Deduction rules should be reviewed to reflect the latest CRD changes (50% deduction for Tier 1 and Tier 2).
• Line 33: Should be deleted for the same reason as Line 26.
• Lines 47–51: Should be reduced to one line.
• Lines 60–62: Should be deleted as they are not linked to the CRD.
• Lines 64–65: Deduction rules should be reviewed.
• Line 103: Should be deleted.
• Line 150: Should be deleted as it is temporary.
• Line 152: Pillar II extra capital requirements should not be included in the solvency ratio formula.

Template SA

• Exposure classes: Should be reduced to the 6 first-level exposure classes.
• Columns 1–3: Should be deleted as they are already covered in Template CA.
• Columns 9–13 and 14–18 (Outflows and Inflows): Should be deleted as they are not used in the credit institutions’ risk management.
• Columns 20–25: Should be deleted due to the limited relevance of the data and the difficulty in centralizing it.

FIRB CRM Template

• Exposure classes: Should be reduced to the 6 first-level exposure classes.
• Columns 6–10 and 11–15: Should be deleted for the same reasons as in Template SA CRM.
• Columns 21–32: Should be deleted for the same reasons.
• Columns 33–34: Should be deleted due to technical implementation challenges.

AIRB CRM Template

• Exposure classes: Should be reduced to the 6 first-level exposure classes.
• Columns 6–10 and 11–15: Should be deleted.
• Columns 11–31: Should be deleted for the same reasons.
• Columns 32–33: Should be deleted due to technical challenges.

CRM I/O Template

• The FBF wishes to delete this template, citing the same concerns as with other CRM templates.
• It is technically impossible to report "inflows" for retail and equity portfolios.

Securitisation Templates (SA SEC 1, SA SEC 2, IRB SEC 1, IRB SEC 2, OTH 5 SEC)

• Columns 8–12 (SA SEC1), 11–15 (SA SEC2), 6–10 (IRB SEC1), 9–13 (IRB SEC2), and 20 (OTH 5 SEC): Should be replaced with CCF 0%, 20%, (plus 50% for the standardised approach) to cover the minimum granularity.
• Columns 28–29 (IAA): Should not be shaded for unrated exposures.
• Notes (h) and (k): Should be deleted as they refer to derivatives, which are not part of securitisation reporting.
• Column 20 (OTH 5 SEC): Should be deleted for the same reason as above.

Equity Templates (IRB EQU 1, IRB EQU 2, IRB EQU 3)

• Columns 14 and 15 (IRB EQU1): Should be deleted.
• Columns 6 and 7 (IRB EQU2): Should be deleted.
• Columns 2, 6, and 7 (IRB EQU3): Should be deleted.
• The FBF suggests adding lines to mention minimum floors for PD/LGD in Template EQU3, noting that these differ from the standardised approach.

Market Risk Templates

• No specific comments were provided.

Operational Risk Templates (OPR, OPR LOSS, OTH 4 OPR)

• OPR Template:

  • Should be disclosed annually on December 31st.
  • The requirement for 7 semesters is questioned; the FBF suggests 6 semesters or 3 years.
  • Gross income should not include intra-group incomes.
  • The AMA memorandum items should be clarified and only one of the two options should be retained.
  • The allocation mechanism for "AMA due to allocation mechanism" is unclear and unnecessary for group-level reporting.

• OPR LOSS Template:

  • Should be disclosed annually on December 31st.
  • The breakdown by business lines is seen as burdensome and impractical.
  • A mapping between internal categories and Basel business lines is suggested.
  • Losses should be validated and only those recorded or validated during the year should be reported.
  • The threshold for reporting should be consistent across the group.
  • The definition of "Gross loss" should be clarified.

• OTH 4 OPR Template:

  • Should be deleted.
  • The FBF proposes an annual report of the 10 major losses of the group, with details such as:
    • Estimated loss amount on December 31st, before insurance effects
    • Location of the incident (within the group and geographically)
    • Date of detection
    • Internal reference
    • Optional breakdown by event type
    • Optional description of the incident

Other Templates (OTH 1 IND, OTH 2 SECT, OTH 3 AFF)

• OTH 1 IND:

  • Is redundant with gross exposures and should be replaced.
  • Threshold should be defined based on the size of the credit institution.
  • Column 12: Should be deleted as it refers to market risk and not counterpart-specific data.
  • Columns 16–26: Should be deleted as CRM breakdown by major risk is not used internally.

• OTH 2 SECT:

  • Should not have a standardized sector definition.
  • This would create artificial breakdowns and increase reporting costs.
  • Column 12: Should be deleted for the same reason as in OTH 1 IND.

• OTH 3 AFF:

  • Raises technical problems with data collection and inconsistencies.
  • Should be replaced with individual reporting for subsidiaries supervised on an individual basis.
  • A half-yearly or annual periodicity is suggested instead of quarterly.

Conclusion

The FBF emphasizes the need for a practical and proportionate approach to common reporting, focusing on reducing compliance burden and aligning with internal risk management practices. They also highlight the technical limitations of the proposed reporting formats and the inappropriateness of including Pillar II data in a common reporting framework. Overall, the FBF supports the concept of a common reporting framework but believes it should be simplified, aligned with existing standards, and tailored to the needs of the industry.