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报告摘要

CEBS Draft Revised Guidelines on Concentration Risk Management (CP31)

Core Content

The CEBS draft revised guidelines on concentration risk management, titled CP31, aim to enhance the supervisory review process under Pillar 2 of EU banking legislation. These guidelines are designed to address the limitations of the existing framework and incorporate lessons from the recent financial crisis to ensure a more comprehensive and integrated approach to managing concentration risk across different risk areas.

Main Objectives and Tasks of CEBS

CEBS is tasked with promoting efficient and effective supervision to ensure the safety and soundness of the EU financial system. This includes:

Advising the European Commission
Ensuring consistent implementation of EU banking legislation
Promoting supervisory convergence and information exchange
Supporting the efficient functioning of colleges of supervisors

Current Framework of CEBS Pillar 2 Guidelines

The existing guidelines include:

GL03 (2006): Guidelines on the Supervisory Review Process
Annexes (2006): Including IRRBB, concentration risk, and stress testing
CP32 (2009): Stress testing guidelines
Sections: Internal Governance, ICAAP, SREP, RAS, and ICAAP-SREP Dialogue
High-level principles for remuneration and risk management (2009 and 2010)
ICAAP-SREP Dialogue on diversification (CP20, 2008): Not yet finalised

Additionally, there are home-host guidelines and college-related documents, including a template for written agreements and a Good Practices paper.

Importance of Concentration Risk

Concentration risk refers to significant inter-related asset or liability exposures that could adversely affect an institution's soundness. It is not fully captured by Pillar 1, and therefore must be addressed under Pillar 2. Key characteristics include:

It can affect multiple risk categories under stress scenarios
It may arise from economic connections that are not easily identifiable
Lessons from the financial crisis show that concentration risk was not sufficiently understood or addressed

Drivers for the Revision of Guidelines

The revision is driven by:

Incorporating key lessons from the financial crisis
Expanding the focus from credit concentration risk to include market, operational, and liquidity risks
Aligning with the revision of large exposures rules
Reflecting actual implementation experience in Europe
Incorporating elements from the Joint Forum paper on risk concentrations (April 2008)
Highlighting the importance of concentration risk in CEBS micro-prudential assessments

What’s New in the Revised Guidelines

The revised guidelines introduce:

A broader approach to concentration risk measurement and management
A holistic enterprise-wide perspective, covering both intra-risk (within a risk type) and inter-risk (across risk types) analysis
A forward-looking approach using stress testing and economic monitoring
Extended guidance for supervisors, including a supplementary implementation pack

Governance and Management Framework

Concentration risk management is an integral part of the institution's overall risk and governance framework. Key elements include:

Roles of governing bodies and senior management
An integrated approach to managing intra- and inter-risk concentration
Identification of concentrations across and within risk types
Monitoring of economic conditions and use of stress testing

Measurement and Monitoring Framework

Institutions are expected to:

Evaluate and quantify the impact of concentration risk on earnings, solvency, and liquidity
Use top-down concentration limits and internal target ratios
Implement quantitative and qualitative assessments
Maintain reporting frameworks to support ongoing analysis of portfolios and exposures

Integration with ICAAP and Capital Planning

Concentration risk must be adequately captured within the ICAAP (Internal Capital Adequacy Assessment Process) and capital planning. Institutions should allocate capital to concentration risk, with higher concentrations requiring more rigorous capital demonstration.

Key Risk Areas

Credit Risk

Extend analysis beyond connected customers to include sectors, products, and geographies
Focus on interconnected exposures across the banking and trading books
Consider modeling techniques and assumptions for different exposure classes

Market Risk

Emphasize VaR models and the risk of overestimating diversification effects
Address market liquidity risk, including changing liquidity horizons

Operational Risk

Introduce a new concept of operational risk concentration
Highlight risks from business model or organisational structure, such as:
- Large payments and settlements functions
- High-frequency trading
- Dependence on one or few external suppliers

Liquidity Risk

Focus on funding structure and balance between sources, currencies, and markets
Consider interactions between market and funding liquidity risk
Use qualitative and quantitative ratios
Integrate into contingency funding plans

Supervisory Review and Assessment

Concentration risk is part of the SREP (Supervisory Review and Evaluation Process)
Supervisors will conduct both qualitative and quantitative reviews
Emphasis on adequate capital and liquidity buffer allocation
Avoidance of new concentration risks through mitigation
Use of supervisory measures under Article 136 of the CRD if risk is not mitigated
Special attention to highly concentrated (e.g., specialised) institutions

Implementation

The revised guidelines will be applied from 31 December 2010
Proportionate and flexible implementation by national supervisors
Monitoring by national authorities
Implementation materials being developed by CEBS/P2CN (e.g., supervisory questions and practices)
Implementation study planned approximately one year after the application date

Immediate Follow-up Work

Public consultation runs until 31 March 2010
Comments should be sent to cp31@c-ebs.org
Comments will be published unless explicitly requested otherwise
The final version of the guidelines is expected in Q3 2010

Questions and Answers

The draft guidelines prompt the following questions:

Do attendees agree with the broad principles covered in the guidelines?
What issues should be flagged to CEBS during the finalisation process?
What further work can CEBS undertake to support the implementation of the guidelines?