Response to consultation on methodology for global systemically important institutions
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• Firstly, the level of detail goes beyond the templates proposed by the Basel Committee in its systemic framework.
- The Basel templates requires the disclosure of 12 systemic indicators. These templates are a subset of the reporting tables we send to our supervisor for systemic risk calculation purposes. The reporting templates include more than 100 sub-indicators.
- The EBA draft document proposes a level of disclosure similar to the reporting templates, including the more than 100 sub-indicators mentioned above. We think that revealing this amount of information is not mandated by the Basel accord, unnecessary and even could be confusing to market participants.
We think that disclosure should be limited to the 12 indicators as requested in the Basel paper and not go beyond it in the level of detail. Especially dangerous would be to required such detailed disclosure by July 2014. If finally the more detailed disclosure is decided, it would be advisable to start the disclosure in 2015 or at least restrict the disclosure by July 2014 just to the 12 indicators.
• Secondly, there are inconsistencies in the definition of the Size indicator between the Basel Committee and EBA. According to the Basel methodology, the definition of this indicator is “…total exposures as defined for use in the Basel III leverage ratio”. Recent changes on the definition of exposures in the Basel III leverage ratio are not included neither in the CRR nor in the instructions to fulfill EBA templates. Hence, the Size indicator considered for identification purposes in the G-SIBs list will be different from the Size indicator published in the disclosure template. Given the significant difference between these two definitions and the weight of this indicator in the identification framework (20%), this divergence could undermine the aim of transparency and level playing field that the disclosure exercise pursues.
(Question relating to the draft RTS) Are the timelines for the identification process and the coming into force of the buffer requirement adequate, and do they allow for sufficient time for adjusting to it?
We think the timelines for the identification process and entering into force adequate. However, with respect disclosure, we think that it would be better to start the disclosure in 2015 and not by July 2014. As part of these information is new for the market and is not based on prudential or financial information the markets are already familiar with, it would be advisable to take advantage of this year to educate markets in the new concepts before disclosing them in order to avoid uninformed market reactions.(Question relating to the draft Guidelines) Are the template and the instructions clear and sufficiently comprehensive for enabling institutions to complete the disclosure process?
Regarding the templates proposed in the EBA consultation, we have two major concerns:• Firstly, the level of detail goes beyond the templates proposed by the Basel Committee in its systemic framework.
- The Basel templates requires the disclosure of 12 systemic indicators. These templates are a subset of the reporting tables we send to our supervisor for systemic risk calculation purposes. The reporting templates include more than 100 sub-indicators.
- The EBA draft document proposes a level of disclosure similar to the reporting templates, including the more than 100 sub-indicators mentioned above. We think that revealing this amount of information is not mandated by the Basel accord, unnecessary and even could be confusing to market participants.
We think that disclosure should be limited to the 12 indicators as requested in the Basel paper and not go beyond it in the level of detail. Especially dangerous would be to required such detailed disclosure by July 2014. If finally the more detailed disclosure is decided, it would be advisable to start the disclosure in 2015 or at least restrict the disclosure by July 2014 just to the 12 indicators.
• Secondly, there are inconsistencies in the definition of the Size indicator between the Basel Committee and EBA. According to the Basel methodology, the definition of this indicator is “…total exposures as defined for use in the Basel III leverage ratio”. Recent changes on the definition of exposures in the Basel III leverage ratio are not included neither in the CRR nor in the instructions to fulfill EBA templates. Hence, the Size indicator considered for identification purposes in the G-SIBs list will be different from the Size indicator published in the disclosure template. Given the significant difference between these two definitions and the weight of this indicator in the identification framework (20%), this divergence could undermine the aim of transparency and level playing field that the disclosure exercise pursues.