EBA欧洲银行-Revised-Guidelines-on-SREP-28EBA-GL-2018-0329_169页_2mb

Summary of EBA/GL/2018/03: Revised SREP and Supervisory Stress Testing Guidelines

Core Content

The European Banking Authority (EBA) has issued revised guidelines on the common procedures and methodologies for the Supervisory Review and Evaluation Process (SREP) and supervisory stress testing, effective from 1 January 2019. These guidelines aim to improve the convergence of supervisory practices across the EU and to ensure that competent authorities apply consistent methodologies when conducting supervisory stress tests and evaluating institutions' capital and liquidity adequacy.

Main Objectives

• Ensure convergence: Harmonise supervisory practices across the EU in the context of SREP and stress testing.
• Update and supplement: Amend and expand the existing SREP Guidelines from 2014 to reflect recent developments, new standards, and best practices.
• Integrate stress testing: Incorporate supervisory stress testing requirements and methodologies into the SREP framework.
• Support early intervention: Clarify the link between SREP outcomes and the application of early intervention measures and resolution processes.
• Enhance risk assessment: Introduce and clarify risk and viability scoring frameworks for better supervisory judgment and risk management.

Key Revisions

1. Supervisory Stress Testing Integration

• Supervisory stress testing is now a core component of the SREP framework, aligned with Article 100(2) of Directive 2013/36/EU.
• The guidelines outline methodologies and objectives for different forms of stress testing and their application in SREP.
• They clarify how stress test results can inform the setting of Pillar 2 capital guidance (P2G) and additional own funds requirements (P2R), which are above the combined buffer requirement.

2. Scoring Framework Enhancements

• A new risk score system is introduced, ranging from 1 (low risk) to 4 (high risk), to reflect the likelihood of a significant prudential impact on the institution.
• A viability score is also introduced, summarising the risk to an institution's viability from each SREP element.
• The overall SREP score is based on the aggregation of the four SREP elements: business model and strategy, internal governance and controls, capital adequacy, and liquidity adequacy.

3. Alignment with EU and International Standards

• The revised guidelines reflect updates from the EBA's ongoing monitoring of supervisory convergence and incorporate the latest developments in EU legislation and international standards.
• They align with the revised EBA Guidelines on interest rate risk in the banking book (IRRBB) and on institutions' stress testing.

4. Pillar 2 Capital Guidance (P2G)

• P2G is defined as the level and quality of own funds that an institution is expected to hold in excess of its overall capital requirements (OCR).
• P2G is not subject to the distribution restrictions in Article 141 of Directive 2013/36/EU.
• Competent authorities should set P2G based on supervisory stress test results and ensure institutions meet these requirements.

5. Interaction with Other Supervisory Processes

• SREP outcomes should inform and be informed by other supervisory activities, including the assessment of recovery plans.
• The integration of findings from on-site inspections, internal model approvals, and market conduct assessments is encouraged to enhance a holistic supervisory view.
• The assessment of recovery plans should also incorporate the results of SREP elements, including internal governance and capital adequacy.

Key Information

• Effective Date: 1 January 2019.
• Compliance Deadline: Competent authorities must notify the EBA of their compliance status by 01.04.2019. Failure to do so will be considered non-compliance.
• Reporting Mechanism: Notifications must be submitted via the EBA website using the form available at compliance@eba.europa.eu with reference 'EBA/GL/2018/03'.
• Scope of Application: The revised guidelines apply to all competent authorities and institutions within the European System of Financial Supervision.
• Amendments to Original Guidelines: The original SREP Guidelines (EBA/GL/2014/13) are amended and supplemented, with some parts retained in force.

Structure of the Guidelines

The revised guidelines include:

• Definitions: Updated definitions for terms such as "consolidating institution", "information and communication technology (ICT) risk", "risk score", and "viability score".
• Scoring Procedures: Detailed guidance on how to assign risk and viability scores to individual risks and SREP elements.
• Implementation Flexibility: Competent authorities may use different methods for scoring, including separate or aggregated scoring, as long as they respect the overall scoring framework.
• Integration with Recovery Planning: Emphasises the need for integration between SREP and recovery plan assessments, aligning with the principle that recovery planning should be embedded in the risk management framework.

Conclusion

The revised SREP and supervisory stress testing guidelines are an essential step in reinforcing the supervisory framework in the EU. They aim to ensure a more consistent, effective, and integrated approach to banking supervision, while also supporting early intervention and resolution processes. The guidelines are to be applied in the 2019 SREP cycle and are intended to be read in conjunction with other EBA guidelines, including those on early intervention and recovery planning.