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Weiterentwicklung des SAG basierend auf den europäischen Vorgaben

Am 17. April 2020 wurde das überarbeitete Sanierungs- und Abwicklungsgesetz (SAG) im Referentenentwurf für ein Gesetz zur Reduzierung von Risiken und zur Stärkung der Proportionalität im Bankensektor (Risikoreduzierungsgesetz – RiG) veröffentlicht. Inhalte sind neben Bausteinen des Abwicklungsregimes, wie der Sanierungsplanung, der Abwicklungsplanung sowie den Zuständigkeiten der Abwicklungsbehörden auch Vorgaben hinsichtlich der Mindestanforderungen an Eigenmittel und berücksichtigungsfähige Verbindlichkeiten (MREL).

Damit werden die Richtlinienänderungen des am 7. Juni 2019 auf europäischer Ebene veröffentlichten Risikoreduzierungspakets (bestehend aus CRD V, CRR II, BRRD II und SRMR II) in nationales deutsches Recht umgesetzt (siehe hierzu ergänzend den am 19. Mai 2020 veröffentlichten Blogbeitrag zum Referentenentwurf des Risikoreduzierungsgesetzes).

Im folgenden Beitrag werden die Änderungen des SAG dargestellt und wesentliche Bausteine daraus skizziert, die aus der BRRD II in den SAG-Referentenentwurf (SAG-E) übernommen wurden. Gleichzeitig ist es wichtig zu verstehen, wie die künftig veränderte Rechtslage auf die bankinternen Prozesse und Datenanforderungen wirken können. Beispielsweise ergänzt der deutsche Gesetzgeber, wo gefordert, diverse Anforderungen und stellt sicher, dass national eingeräumte Rechte und Pflichten an Banken und Abwicklungsbehörden im Rahmen der europäischen Vorgaben konkretisiert werden. Mit Hilfe von Gap-Analyse- und Simulations-Tools können die neuen Anforderungen pragmatisch und zielführend operationalisiert und eine konsistente Planung der MREL sowie ergänzend der Liquidity Coverage Ratio (LCR) sowie der Net Stable Funding Ratio (NSFR) sichergestellt werden.

EBA guidelines on reporting and disclosure of exposures subject to measures applied in response to COVID-19

On June 2nd, the European Banking Authority (EBA) published a guideline with new reporting and disclosure templates to monitor the impact of COVID-19 on European banks. The revised templates are to be reported for the first time per June 30th, giving banks very limited time to implement the necessary changes.

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BMF veröffentlicht Referentenentwurf des Risikoreduzierungsgesetzes (RiG) zur Umsetzung des EU-Bankenpakets

Nachdem auf europäischer Ebene das sog. Risikoreduzierungspaket, bestehend aus CRD V, CRR II, BRRD II, und SRMR II bereits am 7. Juni 2019 im Amtsblatt der Europäischen Union (Amtsblatt der EU vom 7. Juni 2019; L150) veröffentlicht wurde, hat das Bundesministerium der Finanzen am 17. April 2020 den Referentenentwurf  für ein Gesetz zur Reduzierung von Risiken und zur Stärkung der Proportionalität im Bankensektor (Risikoreduzierungsgesetz – RiG) auf seiner Homepage veröffentlicht. Damit sollen insbesondere die in dem Paket enthaltenen Richtlinienänderungen in nationales deutsches Recht umgesetzt werden. Entsprechend den Vorgaben in den Richtlinien soll das RiG grundsätzlich bereits am 28. und am 29. Dezember 2020 in Kraft treten. Obwohl die darin enthaltenen Änderungen bereits aus den umzusetzenden Richtlinien bekannt sind, ist erfahrungsgemäß immer noch ein Blick in das Umsetzungsgesetz selbst anzuraten. Die Darstellung aller relevanten Änderungen würde den Rahmen dieses Beitrags sprengen. Wir haben einige besonders wichtige Punkte aus der Umsetzung der CRD V herausgegriffen, die wir für Sie in prägnanter Form zusammengefasst haben.

IRB Loss Given Default Modelling: Risk Differentiation Function

A well-functioning Loss Given Default (LGD) model is expected to be present with all Advanced IRB banks as required by the Regulation (EU) No 575/2013, later referred to as CRR and subsequently by a set of regulatory papers released by the EBA and ECB.

EBA Guidelines on the PD estimation, the LGD estimation and the treatment of defaulted exposures (EBA/GL/2017/16) further referred as “GL on PD&LGD estimation” distinguishes two steps in the development of the LGD framework:

  1. Model development in LGD estimation as per section 6.2 (which is commonly known as the Risk Differentiation Function)
  2. LGD calibration as per section 6.3

In this article, we will be focusing solemnly on the first step; thus, it will be mainly concerned with how to differentiate obligors/facilities in terms of their relative risk, measured in LGD. The second step (LGD calibration), we will address as a topic with a separate blog post.

PwC’s Pandemic Analysis and Scenario Simulation tool for the multi-year simulation of the COVID-19 crisis on regulatory capital

The simulation of the impact of COVID-19 on regulatory capital ratios will be one of the biggest challenges in the next weeks for banks. Both board members and supervisors are keen on understanding how the crisis will impact the capital ratios over the next three years. Based on the discussions with our clients, and the many years experience in RWA calculation and simulation tools we developed: (please click on picture to open)

PwC Pandemic Analysis and Scenario Simulation tool

 

Supervisory measures in reaction to the Corona crisis – Minimum capital ratios

Minimum capital ratios

The following blog post is part of the overview of supervisory measures in reaction to the Corona crisis:Supervisory measures in reaction to the Corona crisis – Overview.

According to the ad hoc measures taken by the ECB, banks can fully use their capital buffers during this time of financial distress, including the Capital Conservation Buffer (CCB) and the Pillar 2 Guidance (P2G). This means that banks are allowed to operate temporarily – until further notice – below the level of capital defined by the P2G and the CCB. 

Besides, banks can partially use capital instruments that do not qualify as CET1 capital, e.g. Additional Tier 1 or Tier 2 instruments, to meet their Pillar 2 Requirement (P2R). This measure is effectively an early implementation of the standards laid down in CRD V that originally should entry into force in January 2021). Banks will therefore benefit from relief in the composition of capital for the P2R.

Supervisory measures in reaction to the Corona crisis: BaFin Q&A on the regulatory impact

The following blog post is part of the overview of supervisory measures in reaction to the Corona crisis: Supervisory measures in reaction to the Corona crisis – Overview.

The Corona crisis affected banks not only in their daily business but also in their need to fulfil the regulatory requirements. Banks are now obviously confronted with a lot of open and urgent questions regarding specific regulatory issues. Therefore BaFin has set up a website with a comprehensive Q&A section around the regulatory issues in relation to the COVID-19 crisis and the countermeasures taken by the governments. The BaFin statements are directed to less significant institutions (LSI) in Germany. However, they might to some extent also serve as a guidance for significant institutions (SI) or banks in other jurisdictions, provided the statements are applicable and no contradicting statements were published by the respective competent authorities.

Since it is difficult to keep track with the frequently updated Q&As, we clustered and summarised BaFin’s most current key messages in the following section (as of April 22, 2020, to be updated continuously): 

Supervisory measures in reaction to the Corona crisis – Operational reliefs

The following blog post is part of the overview of supervisory measures in reaction to the Corona crisis:Supervisory measures in reaction to the Corona crisis – Overview.

Operational reliefs

The most prominent decision taken by the BCBS in light of the COVID-19 crisis is obviously the revised timeline for implementing the final Basel III package (i.e. “Basel IV”). The general starting point is now postponed from 2022 to 2023, hoping that banks still have the chance to adapt to the new requirements in an appropriate manner despite the current circumstances. This will also apply in the European Union which has postponed the publication of a first CRR III draft to implement Basel IV in the Union that had been expected by mid-of-2020. In the same vein, the EBA In a statement on additional supervisory measures in the COVID-19 pandemic related to market risk declared that the reporting requirement for the new Fundamental Review of the Trading Book (FRTB) standardised approach will also be postponed. CRR II required banks exceeding certain thresholds to start reporting on the new market risk calculations in the first quarter of 2021. Now, the EBA proposes to postpone this reporting requirement to the third quarter of 2021.

One of the first measures taken by the EBA to reduce the operational burden of banks in the light of the Corona crisis was to postpone the EU-wide stress test from 2020 to 2021 (see EBA statement as of March 12, 2020). To support banks’ focus on key operations and to limit any non-essential requests in the short term, the EBA has reviewed all ongoing activities requiring inputs from banks in the next months and decided to extend or postpone several deadlines. Please find below a detailed list of changes (click to enlarge):

In addition, according to the EBA statement as of March 31, 2020, further operational reliefs will be granted in terms of supervisory reporting and disclosures. According to the EBA, competent and resolution authorities should assess the extent to which a delayed submission of all the data or subsets of the data included in the EBA reporting framework would be justified in these extraordinary circumstances. For the time being, such supervisory actions are only being considered for submissions due between March and end of May 2020. In general, institutions should be allowed up to one additional month for submitting the required data. Each competent and resolution authority should clarify the precise terms for institutions in their jurisdiction. However, due to their importance for the supervisory authorities, the reportings of the LCR, the additional liquidity monitoring metrics (AMM) and the information on the institution’s liability structure, including intra-group financial connections (part of the resolution planning reporting) should still be reported in accordance with the deadlines specified in the applicable reporting standard. Further, the EBA clarifies that despite the current circumstances the reporting in accordance with the new data point model version 2.9 should still start with the reference date 31 March 2020.

Supervisory measures in reaction to the Corona crisis – Minimum liquidity requirements

The following blog post is part of the overview of supervisory measures in reaction to the Corona crisis: Supervisory measures in reaction to the Corona crisis – Overview.

Minimum liquidity requirements

Whereas regulatory and supervisors have enacted a number of measures to support banks’ solvency and provide relief by for example pushing implementation and reporting deadlines, the opposite is true when it comes to the topic of liquidity. One of the lessons learned from the 2007/08 financial  crisis is that in a crisis, banks fail when they run out of liquidity. Therefore, regulators and supervisors have stressed the importance of receiving timely and accurate liquidity reporting from banks and have taken measures to strengthen banks’ liquidity rather than granted relief on any liquidity-related obligations.

Banks’ liquidity during the COVID-19 crisis is under pressure due to a number of reasons. Looking at the liquidity coverage ratio (LCR) as the most important tool for the supervision of banks’ short term liquidity, both the numerator as well as the denominator are impacted. In the numerator, the market value of liquid assets is reduced by the declining asset prices. At the same time, the increased volatility of asset values makes controlling and managing the LCR more complex. Turning to the denominator, outflows may increase if depositors move to other means of storing their wealth that they consider safe in times of crisis such as gold. At the same time, liquidity inflows will be reduced as loans become non-performing due to the impact of COVID-19 on the real economy. 

Given the monthly reporting frequency of LCR and the Additional Monitoring Metrics (AMM), these will be the first reportings in which the effects of COVID-19 on banks will become apparent for supervisors. Therefore – and in contrast to the quarterly COREP and FINREP reporting – the EBA stressed in its statement from March 31st, that LCR and AMM reporting have been identified as priority and therefore no extension of reporting deadlines can be granted. At the same time, the changes to LCR reporting envisaged by DPM 2.9 has entered into force on March 31st without any postponement.

As pointed out above, there have been only few relief measures to soften the impact of the crisis on the LCR ratio. One point in case is the German supervisor’s statement on the eligibility of shares as Level 2 high quality liquid assets (HQLA). While they are generally only eligible if they withstand a liquidity shock without losing 40% of their market value, BaFin declared that even if shares exceed this threshold in the COVID-19 crisis, they remain eligible as high quality liquid assets if they are constituents of a main index and all other criteria for inclusion in the HQLA are fulfilled. Obviously, this is applicable only for German LSIs. More detailed information about the clarifications regarding liquidity risk from the German FSA (Bafin) can be found in the separate section (Supervisory measures in reaction to the Corona crisis: BaFin Q&A on the regulatory impact)

Finally, the ECB has taken measures to strengthen banks’ resilience by extending short term funding such as TLTRO measures and by stressing that banks may use their liquidity buffer during times of stress. This means to operate temporarily below the minimum LCR level of 100% in order to ensure liquidity in the system and avoid contagion effects that might trigger liquidity problems in other institutions. However, the precautions to be taken according to Art. 414 CRR when there is an (expected) LCR shortfall will be still applicable, i.e. immediate notification to the competent authorities, preparation of a liquidity restoration plan and daily LCR reporting. (please click to enlarge)

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