The European Banking Authority (EBA) has published a letter from the Vice-President of the European Commission (Commission), Valdis Dombrovskis, on the proposed Regulation amending the Capital Requirements Regulation (CCR) and the proposed Directive amending the Capital Requirements Directive IV.
Mr Dombrovskis comments on the net stable funding ratio (NSFR) and the leverage ratio.
In relation to the NSFR, Mr Dombrovskis states that:
- the Commission has followed the vast majority of the EBA’s recommendations;
- the phasing-in of the treatments of derivatives and reverse repos were introduced to ensure that the implementation of the NSFR does not disrupt the smooth functioning of these markets, which offer important risk management instruments in the case of derivatives and are essential to banks’ funding and market-making activities in the case of repos and reverse repos; and
- in relation to the scope of assets and liabilities that can be considered as interdependent for the purposes of the calculation of the NSFR, he is open to discuss the introduction of a mandate for the EBA to monitor how the conditions for eligibility under Article 428f(1) are interpreted by institutions and competent authorities.
In relation to the leverage ratio Mr Dombrovskis discusses some earlier comments from the EBA. In particular he states that the latest version of the text circulated by the Maltese Presidency makes it clear as to which types of pass-through loans can be excluded from the leverage ratio exposure measure, namely those that do not entail any risk of loss for the credit institution passing the loans through the intermediation chain.