EBA欧洲银行-Results-and-main-conclusions-of-the-public-hearing-on-CP45_3页_90kb

Summary of the Public Hearing on the Draft Guidelines on AMA Changes (CP45)

Core Content

The public hearing on the draft Guidelines on Advanced Measurement Approach (AMA) changes, held on 23 February 2011 at the EBA premises in London, aimed to gather feedback on the proposed guidelines. The discussion centered around ensuring that AMA changes are aligned with an institution's organisational structure and risk profile, and that supervisory processes are harmonised across the European Union.

Main Participants

The hearing involved representatives from various financial institutions and supervisory authorities, including:

• Marco Moscadelli – Bank of Italy (Chair)
• Bernd Rummel – EBA
• Chris Bechtle – Citigroup, UK
• Alison Beckhurst – Deutsche Bank, Germany
• Frank Corleis – Bundesanstalt für Finanzdienstleistungsaufsicht, Germany
• Katherine Hedley – Barclays Group, UK
• Jos Meuleman – Commission Bancaire, Financière et des Assurances, Belgium
• Giulio Mignola – Intesa Sanpaolo, Italy
• Karin Sagner-Kaiser – Deutsche Bundesbank, Germany
• Masao Takemoto – FSA, Japan
• Sara Thomson – RBS, UK

Key Points from the Discussion

• Purpose of the Guidelines: The Guidelines aim to harmonise supervisory processes for the approval of AMA changes. They require institutions to develop internal model change policies that are approved internally.
• Categorisation of Changes: The Guidelines categorise changes based on severity (major or significant), and specify that different approval processes are required depending on the severity.
• Need for Clarification: Participants generally supported the Guidelines but highlighted the need for clearer definitions of "major" and "significant" changes. They recommended adding more examples to the Annex to aid in policy development.
• Quantitative Criteria: Some participants suggested using quantitative thresholds, such as percentages of capital changes or statistical uncertainty comparisons, to distinguish between change categories.
• Role of Supervisors: There was a call for more elaboration on the roles of home and host supervisors, both within and outside the EU, to ensure greater harmonisation in AMA requirements.
• Applicability to Basel Guidelines: Participants asked if the EBA Guidelines would apply to changes required due to Basel Committee's AMA guidelines. The EBA clarified that the Guidelines apply to all AMA changes, regardless of their origin.
• Structural Changes: Concerns were raised about the potential delay caused by requiring supervisory approval before structural changes. The EBA responded that such approval is not necessary in advance, but the impact of structural changes on AMA must be considered.

EBA's Response

• Flexibility in AMA Implementation: The EBA acknowledged that the combination of the four AMA elements (internal and external loss data, scenario analysis, business environment, and internal control factors) may vary between institutions, making it difficult to provide an exhaustive list of examples.
• Need for Internal Policies: Institutions are expected to develop internal model change policies tailored to their specific AMA, which will be refined over time through communication with supervisors and peer reviews.
• Annex Adjustments: The EBA considered several suggestions for improving the Annex, including:
  • Aligning categories with the chapters of the Guidelines.
  • Clarifying the significance of AMA scope extensions.
  • Defining "fundamental" changes, particularly those affecting operational risk management independence.
  • Explaining that method changes can lead to different severities of impact.
  • Avoiding the use of the term "fundamental" in the Annex to prevent confusion with the term used in the "significant changes" section.
  • Clarifying that validation changes refer to changes in logic and methods, not just the validation process itself.

Conclusion

The public hearing received generally positive feedback on the draft Guidelines, with a focus on improving clarity, providing more examples, and refining the categorisation of model changes. The EBA expressed willingness to consider further refinements and highlighted the importance of ongoing communication between institutions and supervisors to enhance harmonisation and ensure effective risk management.