EBA欧洲银行-EBA-Pillar-2-roadmap_8页_349kb

报告摘要

EBA Pillar 2 Roadmap Summary

Core Content

The EBA Pillar 2 Roadmap outlines the plan to update the common European framework for the Supervisory Review and Evaluation Process (SREP) in the period 2017–2018. The existing framework, established in 2014 and applied since 2016, is considered robust but requires updates to reflect recent developments in EU and international regulations, as well as findings from ongoing assessments of supervisory convergence.

The roadmap describes a multi-stage approach to revising the SREP framework, with the first revision introduced for public consultation in 2017 and practical implementation expected by 2018. This includes updating the EBA Guidelines on SREP procedures and methodology, updating the IRRBB Guidelines, and finalising the Stress Testing Guidelines after public consultation.

Main Topics and Changes

1. Revision of the SREP Guidelines

Introduction of P2G: Pillar 2 capital guidance (P2G) will be integrated into the SREP process, based on the outcomes of supervisory stress testing.
Supervisory Assessment of Stress Testing: The revised SREP Guidelines will include more detailed guidance on assessing banks’ internal stress testing frameworks and programs.
Clarification of Scoring Framework: Specific aspects of the scoring framework will be clarified to ensure consistency and transparency.
Alignment with IRRBB Guidelines: The supervisory assessment of IRRBB will be aligned with the updated IRRBB Guidelines.
Communication of Capital Requirements: The communication of total SREP capital requirements (TSCR) and overall capital requirements (OCR) will be improved.
Internal Governance: The revised guidelines will be consistent with recently published legislation on internal governance.

2. Revision of the IRRBB Guidelines

Alignment with BCBS Standards: The IRRBB Guidelines will be updated to reflect the new Basel Committee on Banking Supervision (BCBS) standards published in 2016.
Scope Expansion: Definitions will be clarified, and the scope will be expanded to include credit spread risk in the banking book.
Updated Shock Scenarios: The parameters and assumptions of the supervisory standard shock, as well as standardised interest rate shock scenarios, will be revised.
Internal Governance Requirements: New requirements on internal governance arrangements will be introduced.
Implementation Timeline: The update will be phased in, with the first part completed in 2017 and the second part involving the development of technical standards by the EBA.

3. Finalisation of the Stress Testing Guidelines

Public Consultation: The draft Stress Testing Guidelines will be finalised following a public consultation in 2016.
Integration with SREP: The guidelines will incorporate all aspects of supervisory stress testing and the use of quantitative results, leaving the focus on setting requirements for institutions.
Additional Topics: The EBA may expand the guidelines to include reverse stress testing, links between solvency and liquidity stress tests, and links between stress testing and recovery planning.
Timeline Coordination: A second public consultation will be organised in line with the revised SREP Guidelines, ensuring a comprehensive overview of the updated framework.

Key Concepts

P2G (Pillar 2 Capital Guidance): A non-legally binding supervisory tool used to set capital expectations based on SREP findings. It is intended to address capital planning concerns identified through stress testing.
MDA (Maximum Distributable Amount): P2G is not relevant for MDA calculations, as it is considered an additional buffer.
OCR (Overall Capital Requirements): P2G is set above OCR and should not be used to cover risks that are already addressed by P2R (Pillar 2 Additional Own Funds Requirements).
TSCR (Total SREP Capital Requirements): The total capital requirements derived from the SREP process, including P2G.

Rationale for Revisions

To ensure the SREP Guidelines remain up to date with EU and international standards.
To promote best supervisory practices.
To address issues identified during the assessment of supervisory convergence.
To incorporate developments such as the revised BCBS IRRBB framework and the 2016 EU-wide stress test.

Implementation and Monitoring

The EBA will continue to monitor and update the SREP Guidelines in line with market developments and practical implementation.
Additional revisions may be needed on topics such as business model analysis and technical guidance on ICAAP/ILAAP linkages.
The finalisation of the Stress Testing Guidelines will be coordinated with the SREP framework update.

Annex: Key Milestones (Indicative Timeline)

2017: First revision of SREP Guidelines introduced for public consultation.
2018: Practical implementation of revised SREP framework.
2018: Implementation of BCBS IRRBB standards by banks.
2018: Finalisation of Stress Testing Guidelines following public consultation.

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