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报告摘要

CEBS Report Summary on Banks' Transparency in Activities Affected by Market Turmoil

Core Content

This report by the Committee of European Banking Supervisors (CEBS) evaluates the transparency of banks in disclosing information related to securitisation operations, structured products, and illiquid assets affected by the recent market turmoil, particularly the sub-prime crisis. The assessment is based on the disclosures made by 22 large banks (19 EU-based) in the 2007 fourth quarter and preliminary full-year results, as well as their audited annual reports. The report aims to enhance transparency and provide guidance for better disclosure practices in the future.

Main Findings

Limited Disclosure on Business Models and Risk Management: Banks generally provided limited and generic information on the business models underlying their activities, especially regarding liquidity risk and risk management practices.
Diverse and Incomplete Exposures and Impact Disclosures: While some banks offered detailed insights, the level of detail varied significantly. Most institutions provided a general overview of their financial results, with more detailed discussions in the context of specific business segments.
Generic Valuation and Accounting Disclosures: There was a lack of specific and detailed information on the valuation of exposures and their accounting treatment, with most disclosures being generic.
Varied Presentation Styles: The way disclosures were presented differed across institutions, indicating a lack of standardisation.

Observed Good Practices

CEBS identified several good disclosure practices that institutions should consider adopting:

Comprehensive Business Model and Risk Management Information: Provide detailed discussions on the business model, objectives, and how activities contribute to the institution's strategy.
Meaningful Exposures and Impact Information: Offer appropriate levels of granularity in disclosing exposures and their impact, including qualitative and quantitative breakdowns.
Useful Accounting Policies and Valuation Disclosures: Include specific information on the valuation of exposures, such as fair values and amortised costs, as well as related credit protection.
Improved Presentation of Disclosures: Ensure clarity and coherence in the structure and content of disclosures to enhance understanding.

Recommendations

Application of Good Practices: CEBS recommends that banks apply these good practices in their upcoming disclosures, though not every bank needs to comply with all practices. The extent of application should be commensurate with the institution's exposure and involvement.
Follow-Up Assessments: CEBS will conduct follow-up reviews based on mid-year results and may adjust its recommendations as needed to reflect ongoing developments in the crisis.
Alignment with Existing Standards: The practices are aligned with the Financial Stability Forum (FSF) recommendations and build upon the Senior Supervisors Group (SSG) leading practices, with a holistic and coherent approach to disclosure.

Methodology

Scope: The analysis covered 22 large banks, including a broader EU sample and two from Switzerland and one from the US.
Data Sources: Disclosures from 2007 fourth quarter and preliminary results, as well as audited financial statements and annual reports.
Approach: A systematic analysis was conducted using a list of possible disclosure topics, reflecting requirements from IFRS 7 and Directive 2006/48/EC.
Comparability: CEBS assessed the comparability and consistency of disclosures across institutions, noting differences due to national practices and varying levels of involvement.

Conclusion

The report highlights the need for more comprehensive and specific disclosures on activities affected by market turmoil. It emphasizes the importance of transparency in rebuilding market confidence and suggests that the identified good practices should be adopted by banks to improve clarity and completeness in their disclosures. CEBS will continue to monitor and refine these practices as the situation evolves.

Key Information

Focus Areas: Securitisation, structured products, illiquid assets.
Timeframe: Disclosures from 2007, including quarterly and annual reports.
Sample Size: 22 large banks, with 19 from the EU.
Good Practices: Cover business model, risk management, exposures, accounting policies, and presentation.
Follow-Up: CEBS will review mid-year disclosures and evaluate the effectiveness of the recommendations.

Structure of the Report

Executive Summary: Provides an overview of the report's purpose and findings.
Introduction: Contextualises the importance of transparency during the crisis.
Objective: Defines the report's goals of assessing and improving disclosures.
Methodology: Explains the approach and data sources used.
Discussion of the Findings: Divided into sections on business model, risks, impact, and other disclosures.
Conclusions and Follow-Up: Summarises the key recommendations and future actions.
Annexes: Include detailed good practices and a list of surveyed banks.