EBA欧洲银行-Guidelines-on-common-procedures-and-methodologies-for-SREP-and-supervisory-stress-testing-Consolidated-version_216页_2mb

Summary of EBA/GL/2014/13 Guidelines on SREP and Supervisory Stress Testing

Core Content

The EBA/GL/2014/13 guidelines are issued under Article 107(3) of Directive 2013/36/EU, aimed at promoting common procedures and methodologies for the Supervisory Review and Evaluation Process (SREP) and supervisory stress testing across the European Union. The guidelines are designed to improve the consistency and quality of supervisory practices, ensure harmonisation of risk assessment, and support prudential outcomes that align with the Basel framework and EU regulatory requirements.

Main Objectives

• To establish a common SREP framework that includes business model analysis, internal governance assessment, capital and liquidity risk evaluation, and the application of supervisory measures.
• To ensure convergence of supervisory practices in stress testing across the EU.
• To support proportionality in supervision, taking into account the systemic importance and cross-border activities of institutions.
• To provide methodological consistency for assessing capital and liquidity adequacy, and to guide the determination of Pillar 2 capital requirements (P2G).

Key Components of the SREP Framework

The guidelines outline a structured SREP framework with the following elements:

1. Categorisation of Institutions
   Institutions are divided into four categories based on their size, structure, internal organisation, and the nature and complexity of their activities. This categorisation supports the application of a minimum supervisory engagement model, where the frequency, depth, and intensity of assessments vary according to the category.

2. Monitoring of Key Indicators
   Regular monitoring of key financial and non-financial indicators is essential to identify material changes in risk profiles and support the SREP process.

3. Business Model Analysis (BMA)
   BMA focuses on the viability of the business model and the sustainability of strategic plans. It also identifies key vulnerabilities and provides a basis for scoring the business model and strategy.

4. Assessment of Internal Governance and Institution-Wide Controls
   This includes the evaluation of the internal governance framework, risk culture, remuneration policies, internal audit function, and risk management framework. It also involves reviewing ICAAP (Internal Capital Adequacy Assessment Process) and ILAAP (Internal Liquidity Adequacy Assessment Process) to ensure they align with risk appetite and sound capital and liquidity planning.

5. Assessment of Risks to Capital
   This involves evaluating credit and counterparty risk, market risk, operational risk, reputational risk, and interest rate risk (IRRBB). The assessment should consider both the exposure and the quality of risk management.

6. Assessment of Risks to Liquidity and Funding
   Competent authorities must evaluate the adequacy of liquidity resources and determine whether specific liquidity requirements are necessary to address liquidity and funding risks.

7. SREP Capital and Liquidity Assessment
   The guidelines outline the process for determining additional own funds requirements (TSCR) and Pillar 2 capital guidance (P2G). These are used to ensure capital adequacy in both normal and stressed conditions.

8. Overall SREP Assessment
   The SREP assessment combines the results of individual risk assessments and business model evaluations to form an overall supervisory view of the institution’s viability and risk profile. It includes scoring on a scale from 1 to 4 (low to high risk) and a negative grade 'F' indicating the institution is 'failing or likely to fail'.

9. Application of Supervisory Measures
   Based on the SREP findings, competent authorities may apply capital, liquidity, or other supervisory measures to address risks and ensure compliance. The guidelines also outline the interaction between SREP and early intervention and resolution processes.

10. Supervisory Stress Testing
    The guidelines define the purpose, methodologies, and organisational arrangements for supervisory stress testing, ensuring convergence in practices across the EU. Stress testing is used to support the determination of P2G and to evaluate the resilience of institutions under adverse scenarios.

Key Information and Methodologies

• The SREP process is ongoing and integrates findings from all supervisory activities.
• Scoring framework is used to evaluate each SREP element, with risk scores for individual risks and viability scores for the overall assessment.
• The overall SREP score is based on the combined results of risk and viability assessments.
• Pillar 2 capital requirements (P2G) are determined based on stress testing outcomes and are used to ensure capital adequacy in stressed conditions.
• Proportionality is achieved through the categorisation model and the minimum engagement model.
• Supervisory stress testing is a separate obligation from the Union-wide stress tests and is used to support supervisory judgment and risk assessment.
• The guidelines do not impose binding technical standards, but rather provide guidance for consistent supervisory practices.

Summary of Findings and Scoring

• The summary of findings should reflect supervisory views from the previous 12 months and any new developments affecting the institution's risk and viability.
• Scoring is based on supervisory judgment and is not automatic. Scores range from 1 (low risk) to 4 (high risk), with 'F' indicating failure or likelihood of failure.
• Supervisory measures are applied based on the overall SREP score, and include capital planning, liquidity requirements, and communication with institutions.

Application to Cross-Border Groups

• The guidelines apply to cross-border groups and support the harmonisation of prudential requirements across the EU.
• Competent authorities may apply these guidelines by analogy to other financial institutions not covered by Regulation (EU) 575/2013.

Implementation and Convergence

• The guidelines are not binding but are guiding, supporting supervisory convergence and quality.
• They are updated periodically, with the 2017 revision reflecting EBA convergence monitoring findings.
• Competent authorities are expected to apply these guidelines without compromising the harmonised framework, ensuring uniformity and non-regulatory arbitrage.

Conclusion

The EBA/GL/2014/13 guidelines provide a comprehensive and consistent framework for the SREP and supervisory stress testing in the EU. They support proportionality, harmonisation, and quality of supervision, while ensuring that institutions are adequately capitalised and liquid under both normal and stressed conditions.