EBA欧洲银行-2016-02-16-ICAAP-ILAAP-GL-public-hearing_15页_1mb

EBA Draft Guidelines on ICAAP and ILAAP Information for SREP Purposes

Objective of the Guidelines

The draft Guidelines aim to support the consistent implementation of the SREP (Supervisory Review and Evaluation Process) Guidelines, which were published in December 2014. These guidelines focus on the collection of qualitative and quantitative information related to ICAAP (Internal Capital Adequacy Assessment Process) and ILAAP (Internal Liquidity Adequacy Assessment Process) for the purpose of supervisory assessment.

What Are These Guidelines About?

The draft Guidelines provide competent authorities with the framework for collecting information to assess the implementation of ICAAP and ILAAP. This includes:

• Qualitative and quantitative information that institutions must provide to demonstrate compliance with ICAAP and ILAAP.
• Key principles for organizing the collection of such information, ensuring consistency and proportionality.

What the Guidelines Do

• Recognize the principle of proportionality, both for institutions and competent authorities.
• Reflect the assessment criteria introduced in the SREP Guidelines.
• Allow for flexibility in the format and frequency of information submission, depending on the institution's category.

What the Guidelines Do Not Do

• Do not introduce new criteria for ICAAP and ILAAP addressed to institutions or competent authorities.
• Do not specify the format of ICAAP/ILAAP reports, allowing institutions to use formats that best reflect their internal processes.
• Do not introduce a specific risk taxonomy or templates for quantitative data collection.

ICAAP and ILAAP Information Collection - Process

Competent authorities are required to specify and notify institutions about:

• Remittance dates and reference dates
• Frequencies of information submission
• Technical means and formats for submission

The principle of proportionality is applied through:

1. Categorization of institutions based on the minimum supervisory engagement model.
2. Recognition of existing information from other supervisory activities.
3. Avoiding double reporting by combining ICAAP and ILAAP requirements.

Institution Categories

• Category 1 institutions must submit all information items at least annually by a single set date.
• Categories 2–4 allow for different submission frequencies, dates, and levels of detail, with some information items potentially waived.

ICAAP and ILAAP Information Collection - Content

The guidelines outline the types of information that competent authorities should collect, which is divided into general and specific categories.

General Information

• Business model and strategy
• Risk governance framework
• Risk appetite framework
• Risk data, aggregation, and IT systems
• Disclosure of ICAAP and ILAAP

This information is essential for contextualizing ICAAP and ILAAP and can be used for assessments of other SREP elements, such as BMA (Business Model Assessment).

ILAAP-Specific Information

• Liquidity and funding risk management framework
• Funding strategy
• Strategy regarding liquidity buffers and collateral management
• Cost benefit allocation mechanism
• Intraday liquidity risk management
• Liquidity stress testing
• Contingency funding plan
• Supporting documentation

This information is crucial for evaluating the ILAAP framework and its day-to-day implementation, and serves as input for liquidity and funding risk assessments.

ICAAP-Specific Information

• Overall ICAAP framework
• Risk measurement, assessment, and aggregation
• Internal capital and capital allocation
• Capital planning
• Stress testing in ICAAP

This information is essential for assessing the ICAAP framework and the reliability of its estimates, and should be supported by evidence of setup and implementation.

Conclusions and Quality Assurance

The guidelines emphasize the importance of:

• Conclusions from ICAAP and ILAAP assessments
• Information on changes to risk management, business models, strategies, or risk appetite frameworks
• Documents such as approvals from the management body, internal validation reports, and internal audit reports

These items are common to both ICAAP and ILAAP and are essential for evaluating their use in internal management.

Next Steps

• The guidelines are open for consultation until 11 March 2016.
• They are planned to be finalized in H2 2016 and will apply to the 2017 SREP cycle.
• Competent authorities may use the Consultation Paper as a basis for ICAAP and ILAAP information collection already in 2016.

Questions for Discussion

1. What are your views on the proposed approach to ICAAP and ILAAP information collection process?
2. What are your views on the proposed information content for ICAAP and ILAAP submissions?
3. What are your views on how the principle of proportionality has been applied in the draft Guidelines (both process and content)?