Key take away from the SREP course. Slavka Eley, Oleg Shmeljov, Alessandro Nardi
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1 Key take away from the SREP course Slavka Eley, Oleg Shmeljov, Alessandro Nardi
2 Lesson 1 Key take away from the SREP course 2
3 Understanding of Common SREP Framework SREP aims to increase consistency of supervision and supervisory response SREP is a structured framework for understanding the risk profile and viability of insgtugon Forward looking elements and Viability assessment are important innovagon BMA Internal Governance SREP includes all supervisory ac=vi=es Overall viability Risks to capital Risks to liquidity Key take away from the SREP course 3
4 Understanding of Common SREP Framework One common process to be applied to all insgtugons subject to the minimum engagement model: ConGnuous assessment of risks Periodic assessments Capital adequacy Liquidity adequacy ConGnuous assessment of the viability Summary of the Overall SREP assessment Propor=onality CategorisaGon Minimum engagement model Key take away from the SREP course 4
5 Overall SREP summary and score Overall SREP assessment is the synthesis of all the other elements (not just simple sum) BMA Overall SREP assessment Gov and ICS Risks, Capital and Liquidity Viability score F No discernible risk Low risk Medium risk High risk Failing or likely to fail Link between CRD and BRRD rules Key take away from the SREP course 5
6 Lesson 2 Key take away from the SREP course 6
7 Lesson 2: Important takeaways Risk Scores Viability Scores (Mostly) qualitagve measures, as risks might be already covered by own funds Supervisory Measures QualitaGve and quangtagve measures, including addigonal own funds requirements Risk scores assigned on the basis of supervisory judgment, but can use quangtagve informagon (e.g. KRI values/ranges) as input Risk scores can be mechanically aggregated Viability scores are assigned based on supervisory judgement Viability scores cannot be mechanisgcally aggregated Key take away from the SREP course 7
8 Lesson 2: Forum Discussion AcGve pargcipagon 60+ responses, interacgon with previous responses! Scoring as communica=on tool Useful idea Good to be communicated between supervisors Careful as regards communicagon with insgtugons CommunicaGng only scores is not a good idea need to have narragve Need to understand underlying assessments/methodology à common scoring framework! Viability scores and ra=ngs Different, but complimentary perspecgves Different approaches (judgement vs model) and data Mixed views on linking viability scores with PDs (either as input or output) Use of scores in supervision PrioriGsaGon Planning CommunicaGon ApplicaGon of measures Key take away from the SREP course 8
9 Lesson 3 Key take away from the SREP course 9
10 Capital requirements framework CRR and CRD IV have introduced the new capital requirements framework for financial insgtugons in the EU, which is based on 3 main blocks EBA SREP guidelines provide a common framework for the determinagon of addigonal capital requirements Requirement Risks covered In case of breach B i n d i n g r e q u ir e m e n t s Combined buffer AddiGonal own funds - Systemic risk - Macro-economic risk - Stressed condigons - Risks or elements of risks not covered by minimum own funds and buffer requirements (e.g. IRRBB, Credit ConcentraGon risk) - Expected loss not covered by provisions - Governance deficiencies (as temporary measure) - AutomaGc restricgons on distribugons - Mandatory capital conservagon plan - Possible early intervengon measures - No automagc measures - Possible withdrawal of authorisagon - Possible determinagon of failing or likely to fail and resolugon Minimum own funds - Credit - Market - OperaGonal - CVA Key take away from the SREP course - Seglement 10
11 Capital adequacy and argculagon of addigonal capital requirements DeterminaGon of addigonal own funds requirements Risk by risk quan=fica=on (ICAAP + Supervisory Benchmarks) Pillar 1 + approach No inter-risk diversifica=on TSCR = 8% + addi=onal own funds requirements DeterminaGon and argculagon of the TSCR OCR = TSCR + Combined buffer At least the same composi=on of minimum own funds requirements (i.e. 56% CET1, 75% T1) Only eligible own funds elements DeterminaGon of capital adequacy through the cycle Stress tes=ng Compliance with OCR under baseline scenario Compliance with TSCR under adverse scenario Key take away from the SREP course 11
12 Capital adequacy through the cycle (stress tesgng) The analysis of capital through the cycle concludes the capital adequacy assessment It aims at providing a view of the resilience of a bank s capital under expected and adverse condi=ons Stress tes=ng is the main tool ü ICAAP ü Supervisory Supervisory response to a breach of the TSCR ü Request and assessment of a capital plan ü Engagement with the bank ü No automagc increase of TSCR (only in case of immediate risks of breach) Key take away from the SREP course 12
13 EUROPEAN BANKING AUTHORITY Floor 46, One Canada Square, London E14 5AA Tel: Fax: hgp:// Key take away from the SREP course 13
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