2014年-EBA欧洲银行管理局_EBA_Report_on_the_peer_review_of_the_GLs_on_credit_concentration_risk_42页_845kb

Summary of the EBA Peer Review on GL 31: Credit Concentration Risk Management

Core Content

This report summarizes the EBA's peer review of the national competent authorities' (NCAs) implementation of the EBA Guidelines on the management of concentration risk under the supervisory review process (GL 31), with a focus on credit concentration risk. The peer review involved 30 EEA countries, excluding Iceland (FME) which did not contribute. The EBA evaluated how NCAs apply GL 31, particularly in relation to paragraph 60, Guideline 7, and Guideline 8.

Main Findings

Overall Implementation

• Most NCAs (93%) have largely or fully applied GL 31 regarding credit concentration risk.
• 35% of assessments were fully applied, 47.3% were largely applied, 9.7% were partially applied, 2.2% were not applied, and 3.3% were non-contributing.
• Paragraph 60 and Guideline 7 were applied more widely than Guideline 8.

Credit Concentration Risk Assessment

• Credit concentration risk assessment is integrated into the SREP and ICAAP processes, and is not limited to annual capital calculations.
• NCAs conduct continuous monitoring and on-site examinations to assess credit concentration risk.
• The definition of credit concentration is widely assessed by NCAs, but some NCAs do not verify whether credit institutions include forward-looking mitigation techniques and large indirect credit exposures (e.g., to a single collateral issuer) in their definitions.
• Most NCAs check whether credit institutions use methodologies and tools to identify credit risk exposure, but only half consider the conservatism of model assumptions and how credit institutions use the outputs for credit policies and limits.

Weaknesses Identified

• Three NCAs had further weaknesses in assessing the robustness of credit institutions' infrastructure for aggregating and consolidating credit exposures.
• Some NCAs do not assess the underlying exposures in complex products such as securitised products.
• No material risks are left unaddressed in the majority of cases, but deficiencies in implementation can affect the overall effectiveness of supervisory activities.

Good Practices

• Extensive coverage of credit institutions by NCAs in their annual SREP capital calculation, using both on-site and off-site supervision, is a good practice.
• Centralised and dispersed resource models both have benefits, with dedicated staff for individual institutions improving supervision quality.
• Use of domestic central credit registers (public or private) provides valuable reference information for assessing credit concentration risk, depending on data granularity.
• Automated supervisory reports and risk analysis systems help NCAs monitor and assess credit concentration risk more effectively.
• Scenario analysis, stress tests, and sensitivity analysis are used by some NCAs to identify hidden concentrations.
• Good practices include:
  • Bank of Italy considers concentration in collateral issuers apart from guarantors.
  • German BaFin establishes a direct link between strategy and outputs.
  • Central Bank of Hungary compares model parameters against economic stress experiences and other institutions.
  • Use of checklists and guidelines in supervisory manuals improves the assessment process.
  • Regular peer comparisons between credit institutions help NCAs benchmark by sector, industry, or country.
  • Forward-looking supervision is demonstrated by institutions submitting funding and capital plans twice a year (e.g., Bank of Portugal).
  • Dedicated teams for model validation and capital calculation are beneficial.
  • For less complex institutions, the Herfindahl-Hirschmann index (HHI) is used as an indicator of credit concentration risk to industries or economic sectors.

Recommendations and Considerations

• The EBA should consider how NCAs measure supervisory resources for future peer reviews.
• The elements and practices identified in the peer review should be analysed and incorporated into the Single Supervisory Handbook and ongoing CRD-related guidelines.
• Proportionality in the application of GL 31 is addressed by simplifying the distinction between large and complex banks (LCBs) and other banks (OBs).

Key Information

• Total NCAs reviewed: 30 (excluding Iceland).
• Non-contributing NCA: 3 (Iceland, FMA Liechtenstein, and one other).
• Reference period: 1 January 2013 to the date of the self-assessment.
• Methodology: The peer review was conducted in four phases, including self-assessment, peer review, and on-site visits.
• Benchmarking criteria: Used to evaluate the degree of observance of the guidelines, ranging from fully applied to non-contributing.

Annexes

• Annex I: List of NCAs that participated in the peer review.
• Annex II: Detailed summary of all peer-reviewed assessments.
• Annex III: Additional information on the French ACPR's responses.

Conclusion

The peer review highlights that NCAs generally apply GL 31 effectively, with a focus on continuous and integrated supervision. While some weaknesses were identified, particularly in the assessment of complex products and model robustness, good practices exist that can be shared and improved upon. The EBA is encouraged to use these findings to enhance future supervisory guidelines and practices.