EBA欧洲银行-CP32_Deutsche-Bank_2页_1mb

CEBS Draft Revised Guidelines on Stress Testing Summary

Core Content

The document outlines Deutsche Bank AG's formal response to the CEBS Consultation Paper 32, which proposes revised Guidelines on Technical Aspects of Stress Testing under the Supervisory Review Process. The bank acknowledges the importance of stress testing as a key tool for financial institutions and supports the high-level principles and proportionate approach outlined in the guidelines. However, they raise several concerns regarding the implementation of specific proposals.

Main Views and Key Issues

Guideline 1: Responsibility for Stress Testing Programme

• Agreement: The general objective of having the management body responsible for the overall stress testing programme is supported.
• Concern: The direct involvement of the management body is considered excessive, especially for highly complex institutions.
• Suggestion: Flexibility should be allowed for delegation to senior management or a designated committee, based on the impact and materiality of tasks. For example, scenario selection and business assumptions could be delegated.

Guideline 13: Subsidiary-Level Stress Testing

• Agreement: The general idea of stress testing is supported.
• Concern: Running stress tests at a sub-consolidated level or for material subsidiaries is seen as providing little added value compared to a severe common group-wide scenario.
• Suggestion: Firms should be allowed flexibility to decide whether to stress test individual subsidiaries based on their own judgment.

Guideline 20: Stress Testing and Capital/Liquidity Buffers

• Agreement: Stress testing should foster discussions with supervisors about results and risk management actions.
• Concern: Automatically linking stress tests to capital or liquidity buffers is problematic.
• Reasons:
  • Stress tests must be interpreted based on the expected probability of the scenarios.
  • There is a risk of perverse incentives if stress tests are used to assess capital adequacy, as firms might manipulate scenarios to avoid capital impact.
• Suggestion: Stress tests should remain a tool for exploring risks rather than being used as a direct basis for capital decisions.

Guideline 21: Disclosure of Stress Test Results

• Concern: The proposal to disclose firm-wide stress test results to the College of Supervisors may conflict with data protection laws in several Member States.
• Suggestion: Detailed results should be shared only with the core college, while qualitative discussions (with aggregated figures) could be held at the general college.
• Additional Concern: Using stress test results to assess the adequacy of consolidated own funds is not appropriate, as existing rules already govern the calculation of own funds.

Guideline 22: Supervisor Recommendations on Scenarios

• Concern: The proposal that supervisors may recommend firm-specific scenarios is problematic.
• Suggestion: Supervisors should only recommend industry-wide scenarios to avoid the risk of misleading results due to a lack of firm-specific understanding.
• Liquidity Risk Note: CEBS’ recommendation to assume the complete loss of wholesale funding under an idiosyncratic stress scenario is deemed overly conservative and not risk-based. The bank suggests waiting for the results of ongoing consultations by the Basel Committee and the European Commission before finalizing such approaches.

Conclusion

Deutsche Bank AG emphasizes the importance of maintaining a proportionate and flexible approach to stress testing, ensuring that it remains a useful tool for risk exploration rather than a regulatory burden. They advocate for the alignment of guidelines with existing legal frameworks and for a more balanced use of stress test outcomes in regulatory decision-making.