2017年-ECB欧洲央行_Macroprudential_Bulletin_Issue_3_June_2017_42页_964kb

Summary of the ECB Macroprudential Bulletin Issue 3 (June 2017)

Core Content

The ECB Macroprudential Bulletin Issue 3, published in June 2017, outlines key aspects of macroprudential policy and tools, with a focus on the ECB's approach to setting capital buffers for Other Systemically Important Institutions (O-SIIs), the use of top-down models in stress testing quality assurance, and the analysis of the European Deposit Insurance Scheme (EDIS).

Main Points

1. ECB Floor Methodology for O-SII Capital Buffers

• Purpose: The ECB floor methodology is used to determine a minimum capital buffer requirement for O-SIIs, ensuring consistency and transparency across the Single Supervisory Mechanism (SSM) area.
• Framework: Based on the EBA's O-SII identification framework, the methodology assigns banks to one of four categories of systemic importance ("buckets") using a systemic importance score.
• Buffer Rates: Each bucket is associated with a specific buffer rate (0.25%, 0.50%, 0.75%, and 1.00%) that serves as a floor.
• Calibration: The calibration of buffer rates for the first bucket is non-zero to account for the potential externalities of O-SIIs on the domestic economy.
• Implementation: The methodology was implemented in June 2016, and all O-SII buffer notifications from countries under ECB Banking Supervision were benchmarked against it.
• Timeline: The ECB O-SII methodology and buffers should be fully implemented by 1 January 2022, with a three-year review cycle starting in 2019.

2. Stress Test Quality Assurance from a Top-Down Perspective

• Importance: Stress tests have become a key tool for both microprudential and macroprudential purposes.
• Approach: The ECB used a top-down model toolkit (STAMP€) to evaluate stress test results, ensuring a level-playing field and forward-looking analysis.
• Quality Assurance Process: The process involved multiple perspectives:
  • Supervisory (JST): Assessing individual bank results using supervisory knowledge.
  • Peer Group (HBU): Comparing bank projections with those of peers and using country-specific insights.
  • Model-Based (TD): Using macroprudential models to challenge projections and ensure consistency.
• Outcome: The top-down approach was found to be a valuable component of the QA process, helping to ensure rigour and fairness.

3. Exposure of EDIS to Bank Failures and Risk-Based Contributions

• EDIS Overview: The European Deposit Insurance Scheme (EDIS) is the third pillar of the Banking Union, designed to provide deposit insurance.
• Capacity Analysis: A fully-funded European Deposit Insurance Fund (DIF) is estimated to be sufficient to cover pay-outs in a non-systemic crisis.
• Risk-Based Contributions: The analysis explores how the calibration of risk-based contributions affects their distribution across Member States.
• Cross-Subsidisation: The EDIS is designed to avoid systematic cross-subsidisation between Member States, ensuring fair treatment of all participants.
• Key Insight: While EDIS can cover non-systemic crises, other safety net mechanisms are necessary for systemic crises.

Key Information

• O-SII Identification: Based on the EBA's systemic importance score, which considers size, importance, complexity/cross-border activity, and interconnectedness.
• Bucketing Approach: The ECB uses a bucketing method with four categories, each associated with a specific buffer rate. The first bucket has a non-zero buffer to reflect systemic risk.
• Calibration and Flexibility: The ECB methodology provides a floor but does not cap the buffer rates, allowing for flexibility in national implementation.
• Top-Down Models: The STAMP€ toolkit was used to provide model-based benchmarks for stress testing, enhancing transparency and consistency.
• EDIS Funding: A DIF with a target size of 0.8% of covered deposits is sufficient for non-systemic crises but may require additional measures for systemic risks.
• Transparency: The ECB provides an overview of macroprudential measures in the euro area, updated quarterly on its website.

Conclusion

The ECB Macroprudential Bulletin Issue 3 emphasizes the importance of a structured, transparent, and consistent approach to macroprudential policy. It outlines the ECB's methodology for setting O-SII buffers, the use of top-down models in stress testing, and the role of EDIS in the Banking Union. The bulletin serves as a platform for discussing macroprudential tools and their implementation across the euro area.