EBA欧洲银行-2014-10-19-BSG-Opinion-EBA-CP-2014-14_8页_225kb

EBA Banking Stakeholder Group Summary on EBA/CP/2014/14 Consultation Paper

Core Content

The EBA Banking Stakeholder Group (BSG) has provided detailed comments on the Consultation Paper EBA/CP/2014/14, which outlines guidelines for common procedures and methodologies for the Supervisory Review and Evaluation Process (SREP). The BSG supports the initiative to harmonize supervisory practices across the EU, aiming to create fair competition conditions for institutions and improve efficiency for cross-border groups. However, they also highlight several key issues that need to be addressed to ensure the guidelines are comprehensive and effective.

Main Views and Key Issues

1. Importance of Dialogue in SREP

• The BSG emphasizes the critical role of dialogue between banks and their supervisors during the SREP process.
• They believe that the current draft guidelines are insufficient in addressing this dialogue and suggest that it should be more prominently featured.
• The guidelines should be completed to reflect the importance of this interaction in the Pillar 2 framework.

2. Pillar 2: Internal Capital and Risk Assessment

• Pillar 2 should remain a principles-based approach, not a "Pillar 1 add-on" method.
• The ICAAP (Internal Capital Adequacy Assessment Process) should be tailored to each institution and based on internal risk models.
• The SREP should evaluate both the capital adequacy and the internal risk management processes, not just the capital itself.
• Diversification effects should be considered in the SREP, especially for market and credit risks, to avoid overestimating risk and to reflect sound business models.

3. Diversification in Risk Management

• Diversification between risks (inter-risk) is essential and should be recognized in the SREP guidelines, as per Article 98 of CRD IV.
• The BSG argues that ignoring diversification may lead to higher loan prices and an inaccurate risk assessment.
• They support the inclusion of diversification in both the Business Model Analysis (BMA) and the Total SREP Capital Requirements (TSCR) quantification.
• Intra-risk diversification (e.g., geographical or sectoral) is allowed, but inter-risk diversification should also be authorized to align with the level 1 text.

4. Role of Benchmarks

• Benchmarks should be used only when relevant and should be adjusted to reflect a bank’s specific activities and portfolios.
• The BSG suggests that the use of benchmarks in the SREP process should be part of a dialogue, not a mechanical application.
• They stress the importance of transparency regarding benchmark scores and the peer group to which a bank belongs.
• Benchmarks are tools to challenge internal capital estimates, not a substitute for peer group reviews.

5. Reconciliation with Existing Buffers

• The BSG recommends that macro-prudential measures should be coordinated across supervisory bodies, not applied on a case-by-case basis in the SREP.
• They argue that a case-by-case approach could hinder the convergence of supervisory practices in the EU.

6. Clarifications on Capital and Liquidity

• The final text should clarify that there is no direct link between scores and additional capital requirements.
• The SREP conclusion for capital quantification should only result in an increase of minimum capital requirements, not RWA (Risk-Weighted Assets).
• The additional capital requirement from SREP should not be disclosed to the market and should not affect the trigger levels for issuing additional Tier 1 and Tier 2 instruments or the Maximum Distributable amount.

7. Liquidity in SREP

• The treatment of liquidity in the SREP process should be more specific, especially given the experimental nature of new liquidity requirements like LCR (Liquidity Coverage Ratio) and NSFR (Net Stable Funding Ratio).
• The BSG suggests that liquidity should be analyzed with a focus on its local nature (e.g., by currency) and that cross-border banks must account for this.
• Diversified funding sources should be recognized as a key factor in enhancing resilience.

Conclusion

The BSG appreciates the EBA's efforts to harmonize supervisory practices and looks forward to the final document incorporating their recommendations. They believe that a more comprehensive and flexible approach to SREP, with a strong emphasis on dialogue, internal modeling, and diversification, will lead to a more effective and fair supervisory framework across the EU.