EBA欧洲银行-EBA-GL-2014-13-28Guidelines-on-SREP-methodologies-and-processes29_218页_2mb

EBA Guidelines on Common Procedures and Methodologies for the Supervisory Review and Evaluation Process (SREP)

Core Content Overview

These guidelines, issued under Article 107(3) of Directive 2013/36/EU, are aimed at competent authorities and provide a common framework for the Supervisory Review and Evaluation Process (SREP). The SREP is a key supervisory mechanism under the Basel framework, used to assess the viability, risk profile, and prudential adequacy of financial institutions across the European Union. The guidelines ensure consistency and convergence in supervisory practices, and support the harmonisation of prudential requirements for cross-border banking groups.

Main Components of the SREP Framework

The SREP framework is structured around the following major components:

1. Categorisation of Institutions: Institutions are classified into four categories based on size, complexity, systemic importance, and cross-border activities. This classification supports proportionality in the application of supervisory measures.
2. Monitoring of Key Indicators: Regular monitoring of financial and non-financial indicators helps identify material changes in the risk profile of institutions and supports the SREP process.
3. Business Model Analysis (BMA): This involves assessing the viability of the institution’s business model and the sustainability of its strategic plans.
4. Internal Governance and Institution-Wide Controls: The assessment focuses on the adequacy of internal governance structures, risk culture, and controls in relation to the institution’s risk profile.
5. Risk to Capital Assessment: This includes evaluating credit, market, operational, and interest rate risks, as well as the adequacy of capital to cover these risks.
6. Risk to Liquidity and Funding Assessment: This involves assessing liquidity risk, funding risk, and the institution’s ability to manage these risks effectively.
7. Capital and Liquidity Adequacy: The guidelines outline how to determine additional own funds requirements and specific liquidity requirements, ensuring they are aligned with capital buffer and macro-prudential requirements.
8. Overall SREP Assessment: A comprehensive evaluation of the institution’s risk profile and viability, forming the basis for supervisory measures and early intervention.
9. Supervisory Measures: These include actions such as setting institution-specific prudential requirements, capital and liquidity measures, and early intervention measures.
10. Interaction with Resolution Authorities: The SREP assessment determines whether an institution is 'failing or likely to fail', triggering formal interaction with resolution authorities under Directive 2014/59/EU.

Key Methodologies and Scoring System

• The SREP elements are assessed and scored on a scale of 1 to 4, where:
  • 1 indicates no discernible risk.
  • 4 indicates high risk.
• The overall SREP score is used to reflect the supervisory view of an institution’s risk and viability.
• The score is not automatically linked to supervisory response levels, but it informs the supervisory judgment in determining the appropriate actions.
• Scoring is based on supervisory judgment and supported by guidance tables for each assessment element.
• Competent authorities may apply more granular scoring if deemed useful for supervisory planning.

Proportionality and Supervisory Engagement

• The guidelines recognise the principle of proportionality, ensuring that supervisory engagement is tailored to the institution's category.
• The frequency, depth, and intensity of SREP assessments vary depending on the institution's systemic importance and cross-border activities.
• A minimum supervisory engagement model is introduced to structure the dialogue with institutions and ensure consistency in the SREP process.

Cross-Border Application and Legal Framework

• The guidelines apply to cross-border groups, supporting the harmonisation of supervisory practices across the EU.
• The SREP framework is based on Regulation (EU) 575/2013 and Directive 2013/36/EU.
• Competent authorities may apply the guidelines by analogy to other financial institutions not covered by Regulation (EU) 575/2013, at their discretion.

Implementation and Compliance

• The guidelines are to be applied by competent authorities from 1 January 2016.
• Non-compliance is addressed through a notification requirement by 20 February 2015.
• Notifications must be submitted to compliance@eba.europa.eu with the reference 'EBA/GL/2014/13'.
• The guidelines repeal earlier CEBS/EBA guidelines on SREP and related Pillar 2 topics upon implementation.

Supervisory Measures and Interaction

• The overall SREP assessment forms the basis for supervisory and early intervention measures.
• The interaction between supervisory and macro-prudential measures is encouraged, particularly when addressing systemic risks.
• The European Systemic Risk Board (ESRB) provides guidance on how to coordinate with national macro-prudential authorities when assessing systemic risks.

Summary of Findings and Scoring

• Each SREP element includes a summary of findings and scoring, reflecting the supervisory view of the institution.
• The summary of the overall SREP assessment must include:
  • Supervisory findings from the previous 12 months.
  • Any developments that have changed the competent authority's view of the institution’s risks and viability.
  • The basis for supervisory measures and dialogue with the institution.

Key Definitions

• Capital buffer requirements: Own funds requirements under Chapter 4 of Title VII of Directive 2013/36/EU.
• Conduct risk: Risk of losses from inappropriate financial services or misconduct.
• Counterbalancing capacity: Ability to hold or access excess liquidity in response to stress scenarios.
• Credit spread risk: Risk from changes in credit spreads affecting debt instruments.
• Funding risk: Risk of not having stable funding sources in the medium to long term.
• FX lending: Lending in currencies other than the borrower’s legal tender.
• FX lending risk: Risk to earnings and own funds from FX lending to unhedged borrowers.
• ICAAP: Internal process for capital adequacy assessment.
• ILAAP: Internal process for liquidity adequacy assessment.

Conclusion

These guidelines aim to enhance the quality and consistency of SREP practices across the EU. They provide a structured and proportionate supervisory approach, while ensuring alignment with EU law and macro-prudential objectives. The outcome of the SREP assessment informs supervisory actions, early intervention, and resolution procedures where necessary. The use of a common scoring system and methodologies is essential for achieving supervisory convergence and effective risk management.