Re: The ESBG s comments on the methodology and the templates of the EBA s EU-wide stress test 2014

Size: px
Start display at page:

Download "Re: The ESBG s comments on the methodology and the templates of the EBA s EU-wide stress test 2014"

Transcription

1 Mr. Mario Quagliariello Head of Unit Risk Analysis European Banking Authority L 073/2014, v.2, MSI Brussels, 21 March 2014 Re: The ESBG s comments on the methodology and the templates of the EBA s EU-wide stress test 2014 Dear Mr. Quagliariello, Overall the European Savings and Retail Banking Group (ESBG) welcomes the EBA/ECB 2014 comprehensive assessment and supports the goal of assessing the resilience of financial institutions against adverse market developments. On 3 March 2014 the EBA published a preliminary draft of the methodology and templates for the EU-wide stress test 2014 with the aim of discussing them with the industry - an opportunity which is very much appreciated by the ESBG. However, the deadline set by the EBA for submitting comments is extremely challenging. Given the brief period of time available, a thorough appreciation of the logic underlying the reporting methodology in its entirety appears nearly impossible. Furthermore, we consider that some aspects of the methodology should be reviewed in order to preserve the level playing field and avoid unintended consequences for European savings and retail banks. In addition, the aspects described below obstruct full compliance with the stress test requirements and thus cause banks to face massive challenges. In these respects, our main comments refer to the following aspects: 1. Data collection We would like to reiterate that due to the CRR implementation which is further compounded by the simultaneous review associated with the SSM introduction, banks have already stretched their available resources to the limit. The EU-wide stress test will present an additional, considerable challenge which cannot be mastered with existing staffing levels. As part of the stress test, considerable volumes of data will be collected. It is our understanding that either 95% of the total exposure or the ten largest country exposures are to be considered in the stress test (cf. point 37). This is further compounded by the fact that this data will have to be presented at an unusual level of granularity (e.g. separate presentation of information on credit risk by country, retail, corporates etc.). On the whole, the 2014 stress test clearly places higher demands on banks than previous reporting requests. Hence, the data available will often simply not feature the requested degree of granularity. In terms of time and manpower, collecting the data specified under the current proposals would tie up major resources. This puts an enormous burden on the banks participating in a stress test for the first time. We consider as highly critical the possibility granted to European Savings and Retail Banking Group - aisbl Rue Marie-Thérèse, 11 B-1000 Bruxelles Tel: Fax: first name.surname@savings-banks.com Website:

2 National Competent Authorities (NCAs) to collect even more granular data for validation purposes. Hence, the ESBG holds the view that the granularity of the requested information needs to see a significant reduction. In order to reduce complexity, we suggest the following: Using the breakdown of the 2011 stress test. Furthermore, in order to avoid duplication of work and so as to simplify the data supply by banks, we suggest a review whether any of the data structures requested in the templates coincide with existing AQR reports; Using the regulatory PD and LGD parameters instead of insisting on the calculation of the PD and LGD respectively both as a "point in time and through-the-cycle parameters; Avoiding a deviation from the FINREP figures regarding the calculation of impairment costs (separate recognition of newly defaulted assets and consideration of direct depreciations and write-offs); Regarding securitizations, impairments should be calculated on the level of the respective transactions, rather than taking into account the individual underlying (cf. point 149). All in all, the documents made available with regard to the 2014 stress test seem to suggest that the upcoming workload for banks will be tremendous. Due to the fact that there are material aspects where a final definition is still pending (e.g. macroeconomic scenarios, consideration of the Asset Quality Review results), any final assessment of the actual workload which banks will have to face would be premature. 2. Scope of consolidation FINREP application The supervisory consolidation scope under the CRR was chosen as the consolidation scope for stress testing purposes. For banks which are presently exempt from FINREP's reporting requirements, the balance sheets and P&L will exclusively be based on the consolidation scope under local GAAP. Hence, it would have to be permitted, for these banks, to conduct the stress test on the basis of the local GAAP consolidation scope. Generally, it remains intransparent in which manner banks which are not subject to mandatory FINREP reporting shall comply with the FINREP reporting requirements; whilst not limited to, this applies particularly with regard to the ADC templates. Additionally, national supervisors should be invited to make adequate reconciliations from local GAAP to IFRS available. 3. Templates The templates used in the exercise are classified in two different categories: core templates and additional templates. Among the core templates are the transparency (TR) templates. The purpose of the transparency templates is to aggregate the information required for the disclosure of stress test results on a bank-by-bank basis per year of the exercise, i.e. 2014, 2015 and We consider that the disclosure of the stress test results should focus on each bank s situation at the end of the process, that is, in This will avoid that potential temporary shortfalls that correct themselves along the 3-year period are interpreted by the market as a failure in passing the test. 2

3 4. Static balance sheet assumption The EU-wide stress test will be conducted on the assumption of a static balance sheet, i.e. zero growth assumption for year-end 2013 figures. This assumption is too burdensome for countries where the lowest point of the business cycle was reached along For instance, under this assumption credit growth previsions for will not be included on the stress test results, when they may have a positive impact on the performance of financial institutions (i.e. by reducing NPL levels due to an increased credit base). Due to this, we consider that some level of growth should be allowed for specific accounting elements (in order to keep the level playing field, these growth figures should be calculated by the NCAs). 5. Macro-economic scenarios The EU-wide stress test macro-economic scenarios will be developed in close cooperation between the EBA, the NCAs, the European Commission, the ESRB and the ECB. We consider that the macro-economic scenarios should take into account the starting point regarding the economic situation of each national financial system. For instance, the increase of the non-performing loan (NPL) rate prevision in an equal proportion for all European countries will be detrimental for countries where a restructuring and clean-up process of the balance sheet has already been performed, as is the case in Spain for example. 6. Provisions a. Old defaulted assets As in the case of the macro-economic scenarios, institutions which in recent years have adopted a prudent position regarding the coverage of NPL (or have been forced to do so by national regulation), may be subject to a competitive disadvantage regarding provisions. This would be the case if institutions were forced to preserve the coverage level as of 31 December 2013 during the whole period of the test ( ). In this situation, institutions with a higher starting level of provisions will need to make more provisions than those starting at a lower level. In order to avoid this situation, a coverage ratio consistent with the expected losses should be set for every institution, without necessarily increasing the level of provisions where not needed. b. Collective provisions The methodology implies that collective provisions should remain constant in relative terms during However, we believe that certain provisions should be excluded from this treatment. Namely, collective provisions originated from fair value adjustments in the merger with other institutions. In our opinion, it should be possible to use them in order to offset losses arising from associated portfolios during the timeframe of the stress test period. 7. Trigger event to convert Additional Tier 1 and Tier 2 instruments The definition of capital used in the EU-wide stress test will be Common Equity Tier 1 (CET1). However, Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR 3

4 provisions (capable of absorbing losses), can be reported as a separate item, if their trigger event is set at 5.5% of CET1 or above (the minimum CET1 ratio for the adverse scenario). As the conversion trigger commonly established for contingent convertible capital instruments is 5.125% (at least in some countries, such as Spain for example), this may lead to a situation where these instruments meet the criteria to be considered as CET1 under CRR, but cannot be considered as CET1 for stress test purposes, because the conversion trigger is set at a lower level. It would be important to reconsider the level of the conversion trigger for the exercise, in order not to penalise these institutions. The draft methodology does not clarify the treatment of Additional Tier 1 capital instruments entailing a mandatory conversion into ordinary shares upon a fixed date comprised in We believe that these instruments should qualify as CET1 in the stress test both under the common baseline and the adverse macro-economic scenario. 8. Prudential filters CRR allows a gradual introduction of new capital requirements by establishing transitional provisions applicable to capital elements, prudential filters and deductions, in order to give enough time to institutions to adapt to the new definition of capital. It also allows certain national discretions regarding these elements. Therefore, if we want the information to be disclosed by institutions to the market to be coherent with CRR (which is the permanent prudential framework for the institutions), we feel that the EU-wide stress test should take into consideration all national specificities as long as they are allowed under CRR. We believe that current regulatory criteria should be maintained in order to avoid confusion among market participants. Binding capital shortfalls identified due to the application of a nonexpected regulatory change could nevertheless be challenged by the institutions. 9. Specific comments on individual risk categories a. Credit Risk It remains unclear how a bank which exclusively applies the Credit Risk Standardised Approach (CRSA) is expected to behave. The templates are mostly geared towards large, international banks which use a credit risk approach that is based on internal ratings (IRBA). We would appreciate the EBA setting up a consistent and clearly defined querying methodology for CRSA banks. Regarding the calculation of PDpit and LGDpit, there is a right to opt for internal models that have not been approved by the supervisor for the purposes of estimating point-in-time parameters. In our preliminary understanding, also banks using the Credit Risk Standardised Approach which do not have any approved models will be granted the same choice. We would appreciate a further elaboration in this respect. b. Market Risk Under the provisions of point 97, banks which do not use an internal model for the purposes of calculating RWA (non-var banks) shall have the right to designate themselves as a VaR bank and thus may use the comprehensive market risk approach. Based on the foregoing, we take it 4

5 that in this case the RWA for market risk positions will similarly have to be calculated on the basis of an internal model despite the lack of supervisory approval. c. Sovereign risk According to the methodology proposed by EBA, sovereign risk positions will be treated differently depending on whether they are categorised as credit risk or market risk, and based on their specific accounting portfolio. However, with respect to, for instance, the sovereign position in the Available for Sale (AfS) portfolio, the EBA methodology establishes the following: ( ) Sovereign positions in AfS and designated at fair value through profit and loss (FVO): sovereign exposures in these categories are -in addition to the credit risk treatment above- subject to the market risk parameters (mark-to-market) and haircuts as provided by the ESRB/ECB. We consider that it is important that sovereign positions in the AfS portfolio are not penalised by considering them for both market and credit risk purposes. 10. Intermediate results In our opinion, the disclosure of intermediate results of 2014 and 2015 does not seem convenient. First, the static balance sheet assumption does not provide market participants with further information. Moreover, Basel III has posed significant complexity in the calculation of capital, so that applying different phase-in arrangements every year could incorporate sheer confusion. The ESBG would like to thank you for taking the time to read this letter and hopes that you will take our point of view into consideration. Best regards, Chris de Noose Managing Director 5

A6 Starting point CET1% - bank provided starting point for any adjustments following the Comprehensive Assessment

A6 Starting point CET1% - bank provided starting point for any adjustments following the Comprehensive Assessment Introduction to the Comprehensive Assessment disclosure templates This document contains final disclosure of the results of the Comprehensive Assessment for ABN Amro Bank N.V. Specifically, the template

More information

Results of 2014 EU wide stress test

Results of 2014 EU wide stress test 26 October 2014 Report Results of 2014 EU wide stress test Aggregate results 1 Contents List of figures 3 List of boxes 5 List of tables 5 Executive Summary 7 1. Objectives of this document 9 2. Rationale,

More information

The EBA Stress Test data set

The EBA Stress Test data set EBA STRESS TEST DATA SET: GUIDE FOR DATA EXPLOITATION The EBA Stress Test data set Manual for using and managing data The EBA has developed a range of practical tools that aim to facilitate the use of

More information

CONSULTATION PAPER ON DRAFT ITS AMENDING THE REPORTING REGULATION EBA/CP/2016/02. 04 March 2016. Consultation Paper

CONSULTATION PAPER ON DRAFT ITS AMENDING THE REPORTING REGULATION EBA/CP/2016/02. 04 March 2016. Consultation Paper EBA/CP/2016/02 04 March 2016 Consultation Paper Draft Implementing Technical Standards amending Commission Implementing Regulation (EU) 680/2014 on supervisory reporting of institutions 1 Contents 1. Responding

More information

2016 EU Wide Stress Test

2016 EU Wide Stress Test 24 February 2016 2016 EU Wide Stress Test Methodological Note Contents List of figures 5 Abbreviations 7 1. Introduction 9 1.1 Background 9 1.2 Objectives of this note 9 1.3 Key aspects 9 1.3.1 Sample

More information

Methodology EU wide Stress Test 2014

Methodology EU wide Stress Test 2014 3 March 2014 Preliminary Draft Methodology EU wide Stress Test 2014 Version 1.8 Contents List of Boxes 4 List of Figures 4 List of Tables 4 Abbreviations 5 1. Chapter Introduction 7 1.1 Background 7 1.2

More information

Asset Quality Review and Stress Test. Comprehensive Assessment Results

Asset Quality Review and Stress Test. Comprehensive Assessment Results Asset Quality Review and Stress Test Comprehensive Assessment Results November 2014 Disclaimer This presentation has been prepared solely for informational purposes. Any projections or other estimates

More information

COMMERZBANK Capital Update - EU Wide Stress Test Results.

COMMERZBANK Capital Update - EU Wide Stress Test Results. COMMERZBANK Capital Update - EU Wide Stress Test Results. COMMERZBANK was subject to the 2011 EU-wide stress test conducted by the European Banking Authority (EBA), in cooperation with the Bundesanstalt

More information

2014 EU-wide Stress Test

2014 EU-wide Stress Test 2014 EU-wide Stress Test Bank Name LEI Code DK - Sydbank GP5DT10VX1QRQUKVBK64 DK NUK_WL_NR_XX version 1809014 No restructuring 2014 EU-wide Stress Test 2014 EU-wide Stress Test Summary Adverse Scenario

More information

Additional information AQR & Stress Test October 26, 2014

Additional information AQR & Stress Test October 26, 2014 LOCAL EXPERTISE MEETS GLOBAL EXCELLENCE Additional information AQR & Stress Test October 26, 2014 Comprehensive assessment: AQR and Stress Test Definitions The comprehensive assessment is a financial health

More information

For further information UBI Banca Investor Relations Tel.+ 39 0353922217 Email: investor.relations@ubibanca.it UBI Banca Press relations Tel.

For further information UBI Banca Investor Relations Tel.+ 39 0353922217 Email: investor.relations@ubibanca.it UBI Banca Press relations Tel. - - - For further information UBI Banca Investor Relations Tel.+ 39 0353922217 Email: investor.relations@ubibanca.it UBI Banca Press relations Tel.+ 39 0302433591 +39 3358268310 Email: relesterne@ubibanca.it

More information

Case study: Standardising the definition of non-performing exposure and forbearance

Case study: Standardising the definition of non-performing exposure and forbearance Case study: Standardising the definition of non-performing exposure and forbearance Overview and implementation in the context of the Asset Quality Review (AQR) Contents i. Importance of definitions of

More information

Standard Chartered Bank (Thai) PCL & its Financial Business Group Pillar 3 Disclosures 30 June 2015

Standard Chartered Bank (Thai) PCL & its Financial Business Group Pillar 3 Disclosures 30 June 2015 Standard Chartered Bank (Thai) PCL & its Financial Business Group Registered Office: 90 North Sathorn Road, Silom Bangkok, 10500, Thailand Overview During 2013, the Bank of Thailand ( BOT ) published the

More information

REPORT ON THE IMPACT ON THE VOLATILITY OF OWN FUNDS FROM DEFINED PENSION PLANS. 24 June 2014. Report

REPORT ON THE IMPACT ON THE VOLATILITY OF OWN FUNDS FROM DEFINED PENSION PLANS. 24 June 2014. Report 24 June 2014 Report On the impact on the volatility of own funds of the revised IAS 19 and the deduction of defined pension assets from own funds under Article 519 of the Capital Requirements Regulation

More information

Basel III Pillar 3 CAPITAL ADEQUACY AND RISK DISCLOSURES AS AT 30 SEPTEMBER 2014

Basel III Pillar 3 CAPITAL ADEQUACY AND RISK DISCLOSURES AS AT 30 SEPTEMBER 2014 Basel III Pillar 3 CAPITAL ADEQUACY AND RISK DISCLOSURES AS AT 30 SEPTEMBER 2014 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 5 NOVEMBER 2014 1 Scope of Application The Commonwealth Bank of Australia

More information

BASEL III PILLAR 3 CAPITAL ADEQUACY AND RISKS DISCLOSURES AS AT 30 SEPTEMBER 2015

BASEL III PILLAR 3 CAPITAL ADEQUACY AND RISKS DISCLOSURES AS AT 30 SEPTEMBER 2015 BASEL III PILLAR 3 CAPITAL ADEQUACY AND RISKS DISCLOSURES AS AT 30 SEPTEMBER 2015 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 5 NOVEMBER 2015 This page has been intentionally left blank Introduction

More information

Banco Sabadell Stress test results. 15 th July 2011

Banco Sabadell Stress test results. 15 th July 2011 Banco Sabadell Stress test results 15 th July 2011 1 Disclaimer Banco Sabadell cautions that this presentation may contain forward looking statements with respect to the business. financial condition.

More information

Main differences between the financial consolidation method and the regulatory consolidation method, considering regulatory adjustments

Main differences between the financial consolidation method and the regulatory consolidation method, considering regulatory adjustments Disclosure Report pursuant to the Capital Requirements Regulation as of 31 December 214 1 Scope of Application Regulatory Requirements Since 1 January 214, BCR Group has been calculating the regulatory

More information

The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP)

The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) Supervisory Statement SS5/13 The Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) December 2013 Prudential Regulation Authority 20 Moorgate

More information

THE EBA S REGULATORY REVIEW OF THE IRB APPROACH CONCLUSIONS FROM THE CONSULTATION ON THE DISCUSSION PAPER ON THE FUTURE OF THE IRB APPROACH

THE EBA S REGULATORY REVIEW OF THE IRB APPROACH CONCLUSIONS FROM THE CONSULTATION ON THE DISCUSSION PAPER ON THE FUTURE OF THE IRB APPROACH THE EBA S REGULATORY REVIEW OF THE IRB APPROACH CONCLUSIONS FROM THE CONSULTATION ON THE DISCUSSION PAPER ON THE FUTURE OF THE IRB APPROACH Contents Executive Summary 2 1. Introduction 4 2. Summary of

More information

European Association of Public Banks

European Association of Public Banks Brussels, 29 April 2005 EAPB Position on the CEBS Consultation Paper on the New Solvency Ratio: Towards a Common Reporting Framework (CP04) The European Association of Public Banks (EAPB) represents the

More information

18,343 18,308 3 Accumulated other comprehensive income (and other reserves)

18,343 18,308 3 Accumulated other comprehensive income (and other reserves) The information in this report is prepared quarterly based on the ADI financial records. The financial records are not audited for the Quarters ended 30 September, 31 December and 31 March. The report

More information

CP FOR DRAFT RTS ON RWS/LGDS ARTICLES 124 AND 164 CRR EBA/CP/2015/12. 6 July 2015. Consultation Paper

CP FOR DRAFT RTS ON RWS/LGDS ARTICLES 124 AND 164 CRR EBA/CP/2015/12. 6 July 2015. Consultation Paper EBA/CP/2015/12 6 July 2015 Consultation Paper Draft Regulatory Technical Standards on the conditions that competent authorities shall take into account when determining higher risk-weights, in particular

More information

ICAAP Report Q2 2015

ICAAP Report Q2 2015 ICAAP Report Q2 2015 Contents 1. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 BOARD OF MANAGEMENT APPROVAL OF THE ICAAP Q2 2015... 3 1.3 CAPITAL CALCULATION... 3 1.1.1 Use

More information

ESRB response to the EBA Consultation Paper on Draft Implementing Technical Standards on supervisory reporting requirements for institutions (CP 50)

ESRB response to the EBA Consultation Paper on Draft Implementing Technical Standards on supervisory reporting requirements for institutions (CP 50) 27.2.2012 ESRB response to the EBA Consultation Paper on Draft Implementing Technical Standards on supervisory reporting requirements for institutions (CP 50) Introduction The European Systemic Risk Board

More information

8 March 2016. General comments

8 March 2016. General comments EBF_019362 8 March 2016 EBF comments on the EBA Consultation paper on Draft Implementing Technical Standards (ITS) amending Commission Implementing Regulation (EU) 680/2014 on supervisory reporting of

More information

The EBA s competence to deliver an opinion is based on the sixth subparagraph of Article 10(1) of Regulation (EU) No 1093/2010 2.

The EBA s competence to deliver an opinion is based on the sixth subparagraph of Article 10(1) of Regulation (EU) No 1093/2010 2. OPINION ON RTS ADDITIONAL COLLATERAL OUTFLOWS EBA/Op/2016/08 03/05/2016 Opinion of the European Banking Authority on the Commission s intention not to endorse the draft Regulatory Technical Standards on

More information

PRESS RELEASE Amsterdam, 23 July 2010

PRESS RELEASE Amsterdam, 23 July 2010 CORPORATE COMMUNICATIONS PRESS RELEASE Amsterdam, 23 July 2010 ING comfortably passes CEBS stress test Outcome reflects strong capital position and resilient balance sheet Under adverse stress scenario

More information

Guidelines. on the data collection exercise regarding high earners EBA/GL/2014/07. 16 July 2014

Guidelines. on the data collection exercise regarding high earners EBA/GL/2014/07. 16 July 2014 EBA/GL/2014/07 16 July 2014 Guidelines on the data collection exercise regarding high earners Contents 1. Executive summary 3 2. Background and rationale 4 3. EBA Guidelines on the data collection exercise

More information

Consultation Paper. Draft Regulatory Technical Standards

Consultation Paper. Draft Regulatory Technical Standards EBA/CP/2016/04 06 April 2016 Consultation Paper Draft Regulatory Technical Standards for determining proxy spread and limited smaller portfolios for credit valuation adjustment under Article 383(7) of

More information

Basel Committee on Banking Supervision. Frequently asked questions on the Basel III Countercyclical Capital Buffer

Basel Committee on Banking Supervision. Frequently asked questions on the Basel III Countercyclical Capital Buffer Basel Committee on Banking Supervision Frequently asked questions on the Basel III Countercyclical Capital Buffer October 2015 This publication is available on the BIS website (www.bis.org). Bank for International

More information

National Bank of Greece

National Bank of Greece National Bank of Greece 2014 Comprehensive Assessment Results NBG achieves a 2bn capital surplus Athens Sunday, October 26 2014 0 0 IMPORTANT DISCLAIMER : This presentation and all information contained

More information

Pillar 3 Disclosures. (OCBC Group As at 31 December 2014)

Pillar 3 Disclosures. (OCBC Group As at 31 December 2014) 1. INTRODUCTION The purpose of this document is to provide the information in accordance with Pillar 3 directives under Monetary Authority of Singapore ( MAS ) Notice 637 on Risk Based Capital Adequacy

More information

Basel Committee on Banking Supervision. Frequently asked questions on the revised Pillar 3 disclosure requirements

Basel Committee on Banking Supervision. Frequently asked questions on the revised Pillar 3 disclosure requirements Basel Committee on Banking Supervision Frequently asked questions on the revised Pillar 3 disclosure requirements August 2016 This publication is available on the BIS website (www.bis.org). Bank for International

More information

Accounting Advisory News

Accounting Advisory News Issue 2 September 2009 ACCOUNTING ADVISORY SERVICES Accounting Advisory News Switzerland ADVISORY IFRS for SMEs A standard for Switzerland? In July 2009, one of the longest and most controversial projects

More information

2011 EU-Wide Stress Test: Methodological Note - Additional guidance

2011 EU-Wide Stress Test: Methodological Note - Additional guidance 9 June, 2011 2011 EU-Wide Stress Test: Methodological Note - Additional guidance Introduction 1. The European Banking Authority is conducting an EU-wide stress test in 2011 based on the methodology published

More information

EBA Consultation Paper. Draft Implementing Technical Standards. Supervisory reporting requirements for institutions (CP 50) London, 20 December 2011

EBA Consultation Paper. Draft Implementing Technical Standards. Supervisory reporting requirements for institutions (CP 50) London, 20 December 2011 EBA Consultation Paper on Draft Implementing Technical Standards on Supervisory reporting requirements for institutions (CP 50) London, 20 December 2011 1 Contents I. Responding to this Consultation...

More information

Before turning to detailed remarks on the questions for consultation, we would like to draw EBA s attention to our key issues and concerns.

Before turning to detailed remarks on the questions for consultation, we would like to draw EBA s attention to our key issues and concerns. Frankfurt am Main 16 August 2013 BVI s position on the Draft Regulatory Technical Standards on the determination of the overall exposure to a client or a group of connected clients in respect of transactions

More information

Consultation Paper. Draft regulatory technical standards

Consultation Paper. Draft regulatory technical standards EBA/CP/2013/39 22.10.2013 Consultation Paper Draft regulatory technical standards On derogations for currencies with constraints on the availability of liquid assets under Article 419(5) of Regulation

More information

Consultation Paper CP24/15 Implementing a UK leverage ratio framework

Consultation Paper CP24/15 Implementing a UK leverage ratio framework Consultation Paper CP24/15 Implementing a UK leverage ratio framework July 2015 Prudential Regulation Authority 20 Moorgate London EC2R 6DA Prudential Regulation Authority, registered office: 8 Lothbury,

More information

Interim Financial Report. SNS Bank NV posts first half 2014 net profit excluding one-off items of 162 million

Interim Financial Report. SNS Bank NV posts first half 2014 net profit excluding one-off items of 162 million Interim Financial Report Utrecht, the Netherlands, 28 August 204 SNS Bank NV posts first half 204 net profit excluding oneoff items of 62 million SNS RETAIL BANK: SOLID PERFORMANCE IN THE FIRST HALF OF

More information

Definition of Capital

Definition of Capital Definition of Capital Capital serves as a buffer to absorb unexpected losses as well as to fund ongoing activities of the firm. A number of substantial changes have been made to the minimum level of capital

More information

TD Bank Financial Group Q1/08 Guide to Basel II

TD Bank Financial Group Q1/08 Guide to Basel II TD Bank Financial Group Q1/08 Guide to Basel II 1. OVERVIEW General Information on Basel can be found on the Canadian Bankers Association website at www.cba.ca. Choose Issues, Standards, Rules and Guidelines

More information

Comprehensive Assessment Q&A. 22 October 2014

Comprehensive Assessment Q&A. 22 October 2014 Comprehensive Assessment Q&A 22 October 2014 This document has been prepared to assist the ECB media team with queries on the comprehensive assessment. SSM in Numbers Description Number Number of banks

More information

INTERNAL CAPITAL ADEQUACY ASSESSMENT

INTERNAL CAPITAL ADEQUACY ASSESSMENT INTERNAL CAPITAL ADEQUACY ASSESSMENT 30 june 2011 Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1. The basis for capital management... 4 2.2. Risk identification...

More information

NEED TO KNOW. IFRS 9 Financial Instruments Impairment of Financial Assets

NEED TO KNOW. IFRS 9 Financial Instruments Impairment of Financial Assets NEED TO KNOW IFRS 9 Financial Instruments Impairment of Financial Assets 2 IFRS 9 FINANCIAL INSTRUMENTS IMPAIRMENT OF FINANCIAL ASSETS IFRS 9 FINANCIAL INSTRUMENTS IMPAIRMENT OF FINANCIAL ASSETS 3 TABLE

More information

Bank of Queensland Limited

Bank of Queensland Limited APRA 30 April 2012 The Basel II Capital Accord principles took effect in Australia on 1 January 2008. The framework for the application of Basel II in Australia is comprised of three pillars: Pillar 1:

More information

Basel Committee on Banking Supervision. Working Paper on the IRB Treatment of Expected Losses and Future Margin Income

Basel Committee on Banking Supervision. Working Paper on the IRB Treatment of Expected Losses and Future Margin Income Basel Committee on Banking Supervision Working Paper on the IRB Treatment of Expected Losses and Future Margin Income July 2001 Working Paper on the IRB Treatment of Expected Losses and Future Margin

More information

GE Capital Finance Australia APS 330: Public Disclosure of Prudential Information December 2013 (AUD $ million)

GE Capital Finance Australia APS 330: Public Disclosure of Prudential Information December 2013 (AUD $ million) December 2013 (AUD $ million) Important Notice This document has been prepared to meet the disclosure obligations under the Australian Prudential Regulation Authority (APRA) APS 330 Capital Adequacy: Public

More information

Guidance Notices for applications to use the IRBA for calculating minimum capital requirements. Introduction

Guidance Notices for applications to use the IRBA for calculating minimum capital requirements. Introduction April 01, 2007 Guidance Notices for applications to use the IRBA for calculating minimum capital requirements Introduction Institutions, groups of institutions and financial holding companies 1 within

More information

Nykredit Capital Markets Day. Ulrik Nødgaard October 31, 2013

Nykredit Capital Markets Day. Ulrik Nødgaard October 31, 2013 Nykredit Capital Markets Day Ulrik Nødgaard October 31, 2013 Agenda 1. Sector performance 2. SIFI 3. Guidelines for the fulfillment of the pillar II add-on 4. Agricultural sector 5. Asset Quality Review/Comprehensive

More information

EUROPEAN CENTRAL BANK

EUROPEAN CENTRAL BANK 19.2.2013 Official Journal of the European Union C 47/1 III (Preparatory acts) EUROPEAN CENTRAL BANK OPINION OF THE EUROPEAN CENTRAL BANK of 24 May 2012 on a draft Commission delegated regulation supplementing

More information

Risk & Capital Management under Basel III

Risk & Capital Management under Basel III www.pwc.com Risk & Capital Management under Basel III London, 15 Draft Agenda Basel III changes to capital rules - Definition of capital - Minimum capital ratios - Leverage ratio - Buffer requirements

More information

COMPREHENSIVE ASSESSMENT STRESS TEST MANUAL

COMPREHENSIVE ASSESSMENT STRESS TEST MANUAL COMPREHENSIVE ASSESSMENT STRESS TEST MANUAL In 2014 all ECB publications feature a motif taken from the 20 banknote. August 2014 European Central Bank, 2014 Address Kaiserstrasse 29, 60311 Frankfurt am

More information

Basel II. Tamer Bakiciol Nicolas Cojocaru-Durand Dongxu Lu

Basel II. Tamer Bakiciol Nicolas Cojocaru-Durand Dongxu Lu Basel II Tamer Bakiciol Nicolas Cojocaru-Durand Dongxu Lu Roadmap Background of Banking Regulation and Basel Accord Basel II: features and problems The Future of Banking regulations Background of Banking

More information

Information on Capital Structure, Liquidity and Leverage Ratios as per Basel III Framework. as at March 31, 2015 PUBLIC

Information on Capital Structure, Liquidity and Leverage Ratios as per Basel III Framework. as at March 31, 2015 PUBLIC Information on Capital Structure, Liquidity and Leverage Ratios as per Basel III Framework as at Table of Contents Capital Structure Page Statement of Financial Position - Step 1 (Table 2(b)) 3 Statement

More information

IRSG Response to IAIS Consultation Paper on Basic Capital Requirements (BCR) for Global Systemically Important Insurers (G-SIIS)

IRSG Response to IAIS Consultation Paper on Basic Capital Requirements (BCR) for Global Systemically Important Insurers (G-SIIS) EIOPA-IRSG-14-10 IRSG Response to IAIS Consultation Paper on Basic Capital Requirements (BCR) for Global Systemically Important Insurers (G-SIIS) 1/10 Executive Summary The IRSG supports the development

More information

Basel Committee on Banking Supervision. Consultative Document. TLAC Holdings. Issued for comment by 12 February 2016

Basel Committee on Banking Supervision. Consultative Document. TLAC Holdings. Issued for comment by 12 February 2016 Basel Committee on Banking Supervision Consultative Document TLAC Holdings Issued for comment by 12 February 2016 November 2015 This publication is available on the BIS website (www.bis.org). Bank for

More information

Implementing a UK leverage ratio framework

Implementing a UK leverage ratio framework A response to the Prudential Regulation Authority s consultation Implementing a UK leverage ratio framework by the British Bankers Association October 2015 Introduction The BBA is pleased to respond to

More information

Basel Committee on Banking Supervision. Consultative Document. Standards. Capital floors: the design of a framework based on standardised approaches

Basel Committee on Banking Supervision. Consultative Document. Standards. Capital floors: the design of a framework based on standardised approaches Basel Committee on Banking Supervision Consultative Document Standards Capital floors: the design of a framework based on standardised approaches Issued for comment by 27 March 2015 December 2014 This

More information

1) What kind of risk on settlements is covered by 'Herstatt Risk' for which BCBS was formed?

1) What kind of risk on settlements is covered by 'Herstatt Risk' for which BCBS was formed? 1) What kind of risk on settlements is covered by 'Herstatt Risk' for which BCBS was formed? a) Exchange rate risk b) Time difference risk c) Interest rate risk d) None 2) Which of the following is not

More information

1. Introduction... 3. 2. Process for determining the solvency need... 4. 3. Definitions of main risk types... 9

1. Introduction... 3. 2. Process for determining the solvency need... 4. 3. Definitions of main risk types... 9 Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1 The basis for capital management...4 2.2 Risk identification...5 2.3 Danske Bank s internal assessment of its solvency

More information

Basel Committee on Banking Supervision. Basel III counterparty credit risk - Frequently asked questions

Basel Committee on Banking Supervision. Basel III counterparty credit risk - Frequently asked questions Basel Committee on Banking Supervision Basel III counterparty credit risk - Frequently asked questions November 2011 Copies of publications are available from: Bank for International Settlements Communications

More information

Proposed Framework for Systemically Important Banks in Singapore

Proposed Framework for Systemically Important Banks in Singapore CONSULTATION PAPER P008-2014 June 2014 Proposed Framework for Systemically Important Banks in Singapore PREFACE i MAS proposes a framework to identify domestic systemically important banks ( D-SIBs ) in

More information

TD Bank Financial Group Q4/08 Guide to Basel II

TD Bank Financial Group Q4/08 Guide to Basel II TD Bank Financial Group Q4/08 Guide to Basel II 1. OVERVIEW General Information on Basel can be found on the Canadian Bankers Association website at www.cba.ca. Choose Issues, Standards, Rules and Guidelines

More information

EIOPA-CP-11/008 7 November 2011. Consultation Paper On the Proposal for Guidelines on Own Risk and Solvency Assessment

EIOPA-CP-11/008 7 November 2011. Consultation Paper On the Proposal for Guidelines on Own Risk and Solvency Assessment EIOPA-CP-11/008 7 November 2011 Consultation Paper On the Proposal for Guidelines on Own Risk and Solvency Assessment EIOPA Westhafen Tower, Westhafenplatz 1-60327 Frankfurt Germany - Tel. + 49 69-951119-20;

More information

Basel Committee on Banking Supervision. Consultative document. Definition of capital disclosure requirements. Issued for comment by 17 February 2012

Basel Committee on Banking Supervision. Consultative document. Definition of capital disclosure requirements. Issued for comment by 17 February 2012 Basel Committee on Banking Supervision Consultative document Definition of capital disclosure requirements Issued for comment by 17 February 2012 December 2011 Copies of publications are available from:

More information

U.S. Basel III: Guide for Community Banks

U.S. Basel III: Guide for Community Banks October 2013 U.S. Basel III: Guide for Community Banks Luigi De Ghenghi 1 and Andrew S. Fei 2 Davis Polk & Wardwell LLP Executive Summary: U.S. Basel III is the most complete overhaul of U.S. bank capital

More information

Instructions for EBA data collection exercise on the proposed regulatory changes of the Definition of Default

Instructions for EBA data collection exercise on the proposed regulatory changes of the Definition of Default QIS ON THE GL ON DEFINITION OF DEFAULT 26 October 2015 Instructions for EBA data collection exercise on the proposed regulatory changes of the Definition of Default 1 Table of contents Contents 1. Introduction

More information

FINREP for Irish Investment Firms Guidance Note (updated July 2012)

FINREP for Irish Investment Firms Guidance Note (updated July 2012) 2011 FINREP for Irish Investment Firms Guidance Note (updated July 2012) 1 FINREP for Irish Investment Firms Guidance Note updated July 2012 Contents Introduction 2 Important Notes 3 General Notes 4 Table

More information

EBA FINAL draft Regulatory Technical Standards

EBA FINAL draft Regulatory Technical Standards EBA/RTS/2013/01 26 July 2013 EBA FINAL draft Regulatory Technical Standards [TO BE MERGED INTO ONE LEGAL TEXT WITH EBA-RTS-2013-02 AND EBA- RTS-2013-03 AS PER INDICATIONS THEREIN] on own funds [Part 1]

More information

Basel Committee on Banking Supervision

Basel Committee on Banking Supervision Basel Committee on Banking Supervision Liquidity coverage ratio disclosure standards January 2014 (rev. March 2014) This publication is available on the BIS website (www.bis.org). Bank for International

More information

DG FISMA CONSULTATION PAPER ON FURTHER CONSIDERATIONS FOR THE IMPLEMENTATION OF THE NSFR IN THE EU

DG FISMA CONSULTATION PAPER ON FURTHER CONSIDERATIONS FOR THE IMPLEMENTATION OF THE NSFR IN THE EU EUROPEAN COMMISSION Directorate-General for Financial Stability, Financial Services and Capital Markets Union DG FISMA CONSULTATION PAPER ON FURTHER CONSIDERATIONS FOR THE IMPLEMENTATION OF THE NSFR IN

More information

Accomplishment of the EBA Colleges Action Plan for 2014 and establishment of the EBA Colleges Action Plan for 2015

Accomplishment of the EBA Colleges Action Plan for 2014 and establishment of the EBA Colleges Action Plan for 2015 Accomplishment of the EBA Colleges Action Plan for 2014 and establishment of the EBA Colleges Action Plan for 2015 Assessment of the Colleges Action Plan for 2014 Promoting and monitoring colleges in 2014

More information

Comments on the Basel Committee on Banking Supervision s Consultative Document: Monitoring indicators for intraday liquidity management

Comments on the Basel Committee on Banking Supervision s Consultative Document: Monitoring indicators for intraday liquidity management September 14, 2012 Comments on the Basel Committee on Banking Supervision s Consultative Document: Monitoring indicators for intraday liquidity management Japanese Bankers Association We, the Japanese

More information

EBA/CP/2013/41 24.10.2013. Consultation Paper

EBA/CP/2013/41 24.10.2013. Consultation Paper EBA/CP/2013/41 24.10.2013 Consultation Paper Draft Implementing Technical Standards On Disclosure for the Leverage Ratio under Article 451(2) of Regulation (EU) No 575/2013 (Capital Requirements Regulation

More information

EBA Work Programme 2015

EBA Work Programme 2015 30 September 2014 EBA Work Programme 2015 1. In accordance with Regulation (EU) No 1093/2010 1 of the European Parliament and of the Council of 24 November 2010 establishing the European Banking Authority

More information

AP4 Education Session Impairment requirements in IFRS 9 Financial Instruments

AP4 Education Session Impairment requirements in IFRS 9 Financial Instruments February 2016 IFRS Standards AP4 Education Session Impairment requirements in IFRS 9 Financial Instruments CMAC meeting 25 February 2016 The views expressed in this presentation are those of the presenter,

More information

Interim Financial Report 2015

Interim Financial Report 2015 Interim Financial Report 2015 ABN AMRO Bank N.V. Notes to the reader Introduction This is the Interim Financial Report for the year 2015 of ABN AMRO Bank N.V. (ABN AMRO Bank). ABN AMRO Bank N.V. is a wholly

More information

International Financial Reporting Standard 7 Financial Instruments: Disclosures

International Financial Reporting Standard 7 Financial Instruments: Disclosures EC staff consolidated version as of 21 June 2012, EN EU IFRS 7 FOR INFORMATION PURPOSES ONLY International Financial Reporting Standard 7 Financial Instruments: Disclosures Objective 1 The objective of

More information

Approaches to Stress Testing Credit Risk: Experience gained on Spanish FSAP

Approaches to Stress Testing Credit Risk: Experience gained on Spanish FSAP Approaches to Stress Testing Credit Risk: Experience gained on Spanish FSAP Messrs. Jesús Saurina and Carlo Trucharte Bank of Spain Paper presented at the Expert Forum on Advanced Techniques on Stress

More information

79 8.1. Capital requirement under Pillar I 81 8.2. ICAAP 81 8.2.1. Capital requirement under Pillar II 82 8.2.2. Internal assessment of capital

79 8.1. Capital requirement under Pillar I 81 8.2. ICAAP 81 8.2.1. Capital requirement under Pillar II 82 8.2.2. Internal assessment of capital 8. Capital management 79 8.1. Capital requirement under Pillar I 81 8.2. ICAAP 81 8.2.1. Capital requirement under Pillar II 82 8.2.2. Internal assessment of capital needed on the basis of economic capital

More information

AGGREGATE REPORT ON THE COMPREHENSIVE ASSESSMENT

AGGREGATE REPORT ON THE COMPREHENSIVE ASSESSMENT SB/14/19/02a.final AGGREGATE REPORT ON THE COMPREHENSIVE ASSESSMENT EMBARGO This document is free for publication from 12 p.m. CET on 26 October 2014. No data from the document may be released before the

More information

Discussion paper on the impact on the volatility of own funds of the revised IAS 19

Discussion paper on the impact on the volatility of own funds of the revised IAS 19 POSITION PAPER Our reference: 2014/00028 Your reference: EBA/DP/2014/01 1 (10) 11/04/2014 European Banking Authority Discussion paper on the impact on the volatility of own funds of the revised IAS 19

More information

Non-Bank Deposit Taker (NBDT) Capital Policy Paper

Non-Bank Deposit Taker (NBDT) Capital Policy Paper Non-Bank Deposit Taker (NBDT) Capital Policy Paper Subject: The risk weighting structure of the NBDT capital adequacy regime Author: Ian Harrison Date: 3 November 2009 Introduction 1. This paper sets out,

More information

2016 EU-wide Stress Test Bank Name LEI Code Country Code

2016 EU-wide Stress Test Bank Name LEI Code Country Code 216 EU-wide Stress Test Bank Name LEI Code Country Code 815697964CBDAED282 IT Un 216 EU-wide Stress Test: Summary Actual (starting year) 31/12/215 31/12/218 31/12/218 Cumulative 3y: Net interest income

More information

CONTACT(S) Riana Wiesner rwiesner@ifrs.org +44(0)20 7246 6926 Jana Streckenbach jstreckenbach@ifrs.org +44(0)20 7246 6473

CONTACT(S) Riana Wiesner rwiesner@ifrs.org +44(0)20 7246 6926 Jana Streckenbach jstreckenbach@ifrs.org +44(0)20 7246 6473 IASB Agenda ref 5D STAFF PAPER IASB Meeting Project Paper topic Financial Instruments: Impairment Definition of default 16-19 September 2013 CONTACT(S) Riana Wiesner rwiesner@ifrs.org +44(0)20 7246 6926

More information

Annual Banking Workshop Tax Update

Annual Banking Workshop Tax Update Jeffrey A. Ring, CPA, MST Annual Banking Workshop Tax Update berrydunn.com ON TRACK WITH YOUR AGENDA Review of recent guidance, tax credits, BASEL III tax computations and state nexus matters Bad Debt

More information

Hugh Carney Senior Counsel P 202-663-5324 hcarney@aba.com. By Email: comments@fdic.gov; regs.comments@federalreserve.gov; regs.comments@occ.treas.

Hugh Carney Senior Counsel P 202-663-5324 hcarney@aba.com. By Email: comments@fdic.gov; regs.comments@federalreserve.gov; regs.comments@occ.treas. Hugh Carney Senior Counsel P 202-663-5324 hcarney@aba.com By Email: comments@fdic.gov; regs.comments@federalreserve.gov; regs.comments@occ.treas.gov May 14, 2013 Robert dev. Frierson Secretary Board of

More information

Financial Statement Presentation. Introduction. Staff draft of an exposure draft

Financial Statement Presentation. Introduction. Staff draft of an exposure draft Financial Statement Presentation Staff draft of an exposure draft Introduction The project on financial statement presentation is a joint project of the International Accounting Standards Board (IASB)

More information

F.A.Q. Differences between statistical and supervisory reporting

F.A.Q. Differences between statistical and supervisory reporting F.A.Q. Differences between statistical and supervisory reporting 1) Which group consolidation approach should banks use for statistical, supervisory and financial reporting purposes? For statistical purposes,

More information

Supervisory Statement SS18/13. Recovery planning. December 2013. (Last updated 16 January 2015)

Supervisory Statement SS18/13. Recovery planning. December 2013. (Last updated 16 January 2015) Supervisory Statement SS18/13 Recovery planning December 2013 (Last updated 16 January 2015) Prudential Regulation Authority 20 Moorgate London EC2R 6DA Prudential Regulation Authority, registered office:

More information

August 24, 2004. Dear Mr. Golden:

August 24, 2004. Dear Mr. Golden: August 24, 2004 Russell Golden, CPA Director of Technical Activities Financial Accounting Standards Board 401 Merritt 7 PO Box 5116 Norwalk Connecticut 06856-5116 File Reference No. 1700-100 Dear Mr. Golden:

More information

Capital Structure Information (Third Quarter ended December 31, 2014)

Capital Structure Information (Third Quarter ended December 31, 2014) Capital Structure Information (Third Quarter ended December 31, 2014) Sumitomo Mitsui Banking Corporation (Millions of yen, except percentages) Items Common Equity Tier 1 capital: instruments and reserves

More information

Possible impact of the CRR and CRD IV on bank financing of the economy

Possible impact of the CRR and CRD IV on bank financing of the economy 7 October 2015 To: The European Commission Possible impact of the CRR and CRD IV on bank financing of the economy The Danish Bankers Association, the Danish Mortgage Banks' Federation and the Association

More information

HSBC North America Holdings Inc. 2015 Comprehensive Capital Analysis and Review and Annual Company-Run Dodd-Frank Act Stress Test Results

HSBC North America Holdings Inc. 2015 Comprehensive Capital Analysis and Review and Annual Company-Run Dodd-Frank Act Stress Test Results 2015 Comprehensive Capital Analysis and Review and Annual Company-Run Dodd-Frank Act Stress Test Results Date: March 5, 2015 TABLE OF CONTENTS PAGE 1. Overview of the Comprehensive Capital Analysis and

More information

CONSOLIDATED RESULTS AS AT 30 JUNE 2012

CONSOLIDATED RESULTS AS AT 30 JUNE 2012 CONSOLIDATED RESULTS AS AT 30 JUNE 2012 THE IMPLEMENTATION OF THE PROJECT TO SIMPLIFY THE GROUP CORPORATE STRUCTURE CONTINUES, WITH POSITIVE EFFECTS ON CAPITAL AND SYNERGIES FURTHER IMPROVEMENT IN THE

More information

Australian Bank Capital and the Regulatory Framework

Australian Bank Capital and the Regulatory Framework Australian Bank Capital and the Regulatory Framework Adam Gorajek and Grant Turner* The amount and quality of the Australian banking sector s capital has increased considerably over the past couple of

More information

2016 Comprehensive Capital Analysis and Review

2016 Comprehensive Capital Analysis and Review BMO Financial Corp. and BMO Harris Bank N.A. 206 Comprehensive Capital Analysis and Review Dodd-Frank Act Company-Run Stress Test Supervisory Severely Adverse Scenario Results Disclosure June 23, 206 Overview

More information