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报告摘要

CEBS Draft Guidelines for the Joint Assessment of SREP and Joint Decision on Capital Adequacy of Cross-Border Groups (CP39)

Core Content

The CEBS Draft Guidelines for the Joint Assessment of the Elements Covered by the SREP and the Joint Decision on the Capital Adequacy of Cross-Border Groups (CP39) aim to enhance the efficiency and effectiveness of supervision across the EU financial system, particularly for cross-border banking groups. These guidelines are designed to ensure convergence of supervisory practices and provide a structured approach for assessing risks, internal capital adequacy assessment approaches (ICAAP), and compliance with the Capital Requirements Directive (CRD). The guidelines also support the joint decision-making process on the capital adequacy of the group and its entities, ensuring a level playing field and proportionality in supervision.

Main Objectives

To meet the stipulations of the CRD for a joint decision on the capital adequacy of the group and its entities.
To facilitate the joint decision process and avoid inconsistencies in the approaches used by different supervisory colleges.
To provide tools for achieving a shared understanding of the risk profile and risk-based capital adequacy of the group and its entities.
To foster further cooperation and convergence and ensure consistency on the adequate level of own funds throughout the group.
To serve as an incentive for the harmonisation of Pillar 2 approaches and methodologies.

Cooperation Procedure

Authorities Involved

A consolidating supervisor is required, along with EEA supervisors of subsidiaries, depending on their relevance and significance in local markets.
Non-EEA members and non-banking supervisors may also be involved based on the group's structure and risk profile.
The degree of integration of the banking group determines the level of interaction among college members.
CEBS can be consulted during the process.

Process Overview

Initial Assessment: National supervisors provide their assessments of risk and control factors, ICAAP, and compliance with CRD requirements based on their national approaches and methodologies, referencing CEBS existing guidance (GL03).
Common Templates and Scoring Scales: Used to summarise individual assessments of risk and control factors, ICAAP, and compliance with CRD requirements.
Consolidating Supervisor: Produces a consolidated risk assessment report, incorporating input from host supervisors. Individual templates are annexed to this report.
College Discussion: Facilitated by the use of convergence tools, this discussion aims to reach a joint understanding of the SREP of the group and its entities.
Joint Decision: Made within 4 months (or 6 months until 31 December 2012) after the distribution of the consolidated risk assessment report.

Frequency of Joint Assessment and Decision

The joint assessment and decision are updated annually.
In exceptional circumstances, host supervisors may request an update to the joint decision if there are major events impacting the group or its entities.
Annual assessments may focus on specific areas, provided all significant changes to the overall risk profile are considered.

Key Assessment Elements

Risk, Risk Management and Control Factors

Relevant and significant entities are identified.
Material risks are assessed, which may differ from those in the template.
Material deficiencies in risk management and internal governance are noted.
Intra-group aspects such as transactions, concentration, and contagion are considered.
Cross-border specificities are addressed, including an overview of the group's business activities and overall risk profile.
Financial position, overall strategy and risk tolerance, and corporate governance are evaluated.

ICAAP Framework and Compliance with CRD

ICAAP scope must cover all relevant entities and risks.
ICAAP methodologies must produce reliable outputs.
Stress testing framework for capital planning is assessed.
Governance and internal control related to ICAAP are reviewed.
Compliance with Pillar 1 and Pillar 3 requirements is ensured.

Risk-Based Capital Adequacy

Reconciliation of supervisory risk assessments and ICAAP outcomes is required.
Diversification effects and capital allocation across the group are considered.
Capital buffers or targets for stressed conditions are evaluated.
Regulatory capital requirements and internal capital estimates are compared, with attention to differences and whether internal capital is eligible as regulatory capital.
Add-on requirements may be applied.

Implementation

CEBS expects its members to apply the guidelines by 31 December 2010 in conjunction with the implementation of CRD II.
CEBS supports the implementation through workshops for supervisors and direct communication with supervisory colleges.
The methodology developed in the guidelines is used in the regular CEBS micro-prudential assessments of the EU banking sector, reported twice a year.
A formal implementation study will be conducted approximately one year after the guidelines are implemented.

Next Steps

Public consultation runs until 9 July 2010.
Written comments should be sent to cp39@c-ecs.org.
Comments will be published on the CEBS website unless respondents request otherwise.
The final version of the document will be available in late 2010.

Contacts

CEBS Website: http://www.c-ecs.org
Email: cp39@c-ecs.org

Annex: Common Tables and Scoring Scales

Assessment of risks, risk management and control factors
- Includes a common table and common scoring scales for risk factors and risk controls.
- A summary table for the joint assessment.
Assessment of ICAAP framework
- Includes a common table and common scoring scale for ICAAP methodologies.
- A summary table for the joint assessment.
Assessment of compliance with CRD
- Includes a common table to evaluate compliance with Pillar 1 and Pillar 3 requirements.
Assessment of risk-based capital adequacy
- Includes common tables for capital adequacy assessments at the entity and group levels.
- A summary table for the joint decision on capital adequacy.