EBA欧洲银行-Deutsche-Bank-new_6页_465kb

Summary of EBA's Questionnaire on Users/Investors Needs on Credit Institutions' Pillar 3 Disclosures

Core Content

Deutsche Bank (DB) has participated in the EBA's questionnaire on the usefulness and adequacy of Pillar 3 disclosures provided by credit institutions. The responses highlight DB's use of these disclosures in various strategic and analytical functions, as well as their views on improvements to enhance transparency, comparability, and relevance.

Main Use of Pillar 3 Disclosures

• Purpose:

  • Benchmarking and peer analysis in corporate strategy and financial reporting.
  • Analysis of capital and RWA (Risk-Weighted Assets) assumptions in Company Research (sell-side analyst research).

• Frequency of Use:

  • DB consults Pillar 3 disclosures regularly, with core information (like capital and RWA) provided on a quarterly basis.

General Perceptions on Usefulness

• Adequacy of Risk Disclosures:

  • Generally adequate for assessing risk profiles.
  • Concerns about information overload due to the volume of data.
  • Some mandated disclosures are not useful and may obscure the true risk profile.

• Comparability and Accessibility:

  • Pillar 3 disclosures are not always easy to locate, especially when included in annual reports.
  • Comparability is limited due to bank-specific implementations of Basel 2 and Basel 2.5.
  • Harmonisation of core risk elements (e.g., capital definition, credit risk bucketing) is suggested to improve comparability.
  • Publication dates should align with the annual reporting cycle (Q1), though this is not always the case.

Reconciliation with Financial Statements

• Support for Reconciliation:
  • Supports reconciliation in selected areas, such as own funds, in the form of tables.
  • Acknowledges the limitations in reconciling IFRS-based risk measures with regulatory ones due to differing purposes.

Information on Own Funds

• Internal Capital Allocation:

  • Current qualitative disclosures are too generic.
  • Encourages more specific and quantitative information to better assess risk appetite and capacity.

• Changes in Own Funds:

  • Considers disclosure of changes in own funds relevant, especially related to new CRD requirements.
  • Supports commentary on developments and drivers.

Calculation of Minimum Capital Requirements for Credit Risk

• Internal Rating Systems:

  • Descriptions have improved over time, but generic text is hard to absorb.
  • Proprietary complexity and economic cycle sensitivity (TTC vs. PIT data) are important but not clearly communicated.

• Model Descriptions:

  • Models are generally well-described, especially in terms of loss coverage horizons and risk diversification.
  • Concentration risk could be further enhanced.

• Exposure Classes:

  • Banks provide detailed quantitative information on exposure classes.
  • Ad hoc risks (e.g., European sovereign exposure) may require more timely disclosure methods.

Information on Securitisation

• Disclosure Sufficiency:

  • Disclosures on securitisation activity are sufficient, but depend on compliance with post-crisis guidelines.
  • Accounting policies are adequately described, though more bank-specific details could be beneficial.

• Granularity:

  • Volume-driven disclosures on underlying pools are discouraged.
  • Encourages proper presentation of risk exposures rather than just volume.

Information on Remuneration

• Risk Implications:

  • Current disclosures are adequate for understanding the link between remuneration and risk.
  • Clarity on material risk takers is needed, with a consistent approach across Europe.

• Incentive Structures:

  • Remuneration schemes are adequately described.
  • Deferral criteria, adjustment mechanisms, and equity and clawback measures are clearly outlined.

• Alignment with Long-Term Goals:

  • Disclosures make it easy to understand how personal incentives align with the institution’s long-term goals.

Information on Risk-Adjusted Performance

• Adequacy of Information:
  • Both qualitative and quantitative information on risk-adjusted performance is considered adequate.
  • Complexity of measures is acknowledged, and more detail would be unhelpful without proprietary data.

Information on Market Risk

• Capital Requirement Information:

  • Quantitative information is sufficient, but comparisons between banks are difficult due to method mix.

• VAR Information:

  • Level of information on VAR types is sufficient, but internal model details are proprietary and not useful for comparisons.

• Internal Models Description:

  • Adequately described, but external observers may not benefit from additional details due to proprietary nature.

Key Recommendations

• Standardise core risk elements (e.g., capital definition, PD/EL bucketing) to improve comparability.
• Provide more detailed and specific information on internal capital allocation and risk-taking capacity.
• Align Pillar 3 disclosures with annual reporting cycles (Q1) and enhance clarity on material risk takers.
• Encourage reconciliation tables in selected areas like own funds.
• Avoid information overload by balancing volume and usefulness in disclosures.
• Improve granularity in securitisation exposures, focusing on risk characteristics rather than pure volume.