Guidelines on methods for calculating contributions to dgs
Yüklə 0,84 Mb. Pdf görüntüsü
|
|
Practice Member State Category/ Indicator Weight Notes Differential weights determined by using expert judgement and/or by exact calibration DE
Capital structure* 35%
DGS for cooperative banks Income structure* 50% Risk structure* 15% Qualitative indicators 22
The statutory DGS for private banks
Quantitative indicators including: Capital adequacy* Asset quality* Earning/profitability* Liquidity* Sensitivity to market risk* Management quality*
4.91%
10.45% 4.55%
14.54% 6.65%
8.90% IT
Capital adequacy
Different weights for indicators with time-series data. The more recent the data are, the higher the weight they take Liquidity Asset quality Profitability ratio (x2)
FI
Capital adequacy ratio 100%
Single indicator FR
Solvency ratio 25%
Uncovered exposure ratio 25%
25%
Operating ratio 25%
PT Core tier 1 ratio 100%
Single indicator SE
Capital adequacy ratio 100%
Single indicator
*Risk category that includes different indicators. Risk classification The current practices across DGSs that apply risk-based contributions rely on two types of risk classification. While in some Member States (FI, NO, SE) a ‘sliding scale’ is used, some other Member States (DE, FR, IT, PT) operate a ‘bucket’ approach. The main difference between the two models is that the former applies continuous scale and the latter measures the risk of the institutions on a discrete scale. Risk classes Where the Member States use discrete scaling (for example, the ‘bucket’ approach) for the classification of risk, they set a number of risk classes under which the institutions are classified given their risk profiles. Currently, there are Member States (DE) that use a large number of risk classes while some other Member States (FR, IT, PT) set a smaller number of risk classes to identify the risk level of the institutions. As mentioned above, there are also Member States
22 Qualitative indicators are based on the external ratings with a focus on deposit taking behavior. GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
51 (FI, NO, SE) that use a sliding scale. Table 4 indicates the number of risk classes for a sub-sample of Member States. Table 4 Number of risk classes used in a sub-sample of Member States Risk classification Member State No. of risk classes Discrete scale (i.e. bucket approach) DE 23 9 FR, PT 5 IT, NL
4 Continuous scale (i.e. sliding scale approach) FI, NO, SE N/A Risk weights The range for the risk weights assigned to risk classes falls between 60% and 350% and the core range of risk weights is between 75% and 150%. 24 Most Member States [BE, DE, FI, FR, IT, NL, NO, PT, SE] apply a narrow range of risk weights that may lead to cross-subsidisation relative to actual difference in risk between the most and the least risky institutions. In Germany, the DGS for cooperative banks applies a range of 80%-140% while the statutory DGS applies a range of 75%- 200%. In Italy, the DGS additional risk factor ranges between -24% and +24%. In Sweden, where the DGS does not apply risk categories but a sliding scale, the floor is 6 and the cap is 14 basis points.
Technical options This section provides an assessment of the options considered under a set of policy areas including: A.
Specification of risk indicators B.
Selection of risk categories and core risk indicators C.
Weights of risk categories / indicators D.
Risk classification E.
Models for calculating contributions (calculation formula). Under each sub-section technical options will be presented first, followed by a discussion of their potential advantages and disadvantages.
A. Specification of risk indicators
23 This is the statutory DGS for private banks. 24 Calculating risk-based contributions for a DGS: Result of the EFDI Research Working group, June 2014. GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
52 Option 1a: an exhaustive list of risk indicators Option 1a is to include in the guidelines one calculation model with a set of indicators that all national DGSs have to comply with. This option would ensure the highest level of harmonisation. Under this option, the weights assigned to risk indicators would also be fixed and national DGSs would not be able to include any additional risk indicators into their calculation methods. This approach would ensure that exactly the same indicators and the same approach are used when calculating risk-based contributions to DGSs. Moreover, it may increase certainty among the member institutions about factors that will be taken into consideration for the purposes of DGS contributions. In addition, it would be easier for the national DGSs to implement the calculation model proposed in the guidelines as they would not be obliged to determine which indicators are the most relevant to reflect risk profiles of their member institutions. The main drawback of this approach is that risk-based contribution systems with an exhaustive list of core indicators may not accommodate the characteristics of the banking sectors that are peculiar to some Member States. This may result in calculation methodology that is inappropriate for certain banking sectors. This option may be too rigid to achieve the objectives of these guidelines. Option 1b: a generic list of indicators This option introduces no compulsory core risk indicators for calculating contributions but establishes general guidance for national DGSs on what has to be taken into consideration when developing the models. This option gives national DGSs full flexibility in choosing risk indicators and distributing weights among them. This option would help to ensure that the method for calculation of contributions duly takes into account specific characteristics of the national banking sectors and various business models. However, this option is expected to fail to address the problems related to an uneven playing field. Furthermore, it does not effectively achieve the objectives of harmonisation and fails to establish a framework where the DGSs across the Union follow common and consistent approach to calculating risk-based contributions. In addition, this approach would not guarantee that some indicators that are crucial for the calculation of risk- based contributions are given an appropriate importance in calculating the DGSs contributions. Option 1c: a list of core risk indicators and rules for adding additional indicators Under this option, the guidelines would outline core risk indicators and allow flexibility to add new indicators to the calculation method (within the pre-defined risk categories and complying with rules on assigning weights to risk indicators). This approach would ensure that the core indicators play a leading role in calculating DGS contributions and that member institutions in various Member States are treated in a similar way. At the same time, this option allows national DGSs to incorporate into the method additional risk indicators in order to better accommodate the characteristics of their national banking sectors. This option would ensure that fundamental indicators are taken into account, while leaving room for flexibility to address issues which are peculiar to some Member States only. This option seems to combine the advantages of the two options discussed above.
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
53 Taking into account the argumentation presented above, Option 1c has been selected as the preferred option. B.
Selection of risk categories and core risk indicators The selection of risk categories and core risk indicators is based mostly on the analysis of the baseline scenario and Member States’ responses to the survey accompanying the EBA test exercise on three different test systems for calculating risk-based contributions, which was conducted from February to April 2014. The three test systems were developed by the EBA with a view to allowing Member States to assess how different combinations of necessary elements of calculation methods could be applied in their national banking sectors. Each of the three test systems used a fixed set of indicators (4, 6 and 9 respectively) and proposed calibration of thresholds for these indicators. The test systems were accompanied by an Excel application (enabling Member States to calculate aggregate risk weights for the sample of institutions) and with a survey on the results of calculations (where respondents were asked to express their views on various elements of the calculation systems - including the choice of risk indicators). Approximately 80% of all respondents to the survey (in total 24 Member States 25 responded) expressed specific views on at least one risk indicator included in the test exercise. The remaining respondents provided more general comments on indicators. Some of the indicators proposed in the test exercise received wide support from respondents (for example, NPL ratio, Liquid assets / Total assets) whereas dissenting views were expressed on other indicators (for example, Core earnings, Balance sheet growth ratio). The respondents also suggested adding to the calculation method some specific indicators (for example, LCR, NSFR) which could not be included in the test exercise due to lack of data; these ratios are based on new regulatory requirements and reporting obligations were not yet in place when the test exercise took place. Table 5 presents a summary of the findings from the answers to the survey.
25 AT, CY, CZ, DE, DK, EE, EL, ES, FI, FR, HU, HR, IE, LU, LT, LV, MT, NL, NO, PL, PT, SE, SI, UK GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
54
Table 5 Overview of responses to the EBA Survey on DGS contributions Risk categories Core indicators proposed in the guidelines Indicators used in DGS test exercise Feedback from Member States to the test exercise Conclusions Capital CET1/RWA or capital coverage ratio Tier 1 / RWA* Only one respondent stated that capital adequacy is not a strong risk indicator. CET 1, as a new and more conservative capital adequacy measure (in comparison to the Tier 1 ratio), was included in the guidelines among core risk indicators. National DGSs can replace the CET1 ratio with the capital coverage ratio. Leverage ratio N/A
Suggestions to include this indicator in the calculation method. This ratio was included in the core indicators. Liquidity and funding Liquid assets / Total assets Liquid assets / Total assets* No concerns regarding the usefulness of the indicator. Differences in national definitions of liquid assets. This indicator will be used on a temporary basis until fully harmonised EU definition of LCR is implemented. LCR N/A
Suggestions to include this indicator in the calculation method. This ratio was included in the core indicators. NSFR
N/A Suggestions to include this indicator in the calculation method.
This ratio was included in the core indicators. Asset quality NPL ratio NPL ratio* No concerns regarding the usefulness of the indicator. However, some comments received indicating lack of comparability in defining NPLs across the Union. This ratio was included in the core indicators. Business model and management RWA / Total assets RWA / Total assets† The vast majority of comments on this indicator recommended its use. One respondent pointed out unequal treatment of institutions using the IRB and STA approach for credit risk. This ratio was included in the core indicators, with a possibility to use different calibration for institutions using advanced methods (for example, IRB) or standardised methods for calculating minimum own funds requirements. RoA
Core earnings* Some respondents expressed critical views on Core earning indicator as inappropriate for various business models. Core earnings ratio included only in the examples of additional risk indicators. Instead, the RoA ratio was included in the list of core indicators because this measure of profitability can be applied more universally among institutions.
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
55 Risk categories Core indicators proposed in the guidelines Indicators used in DGS test exercise Feedback from Member States to the test exercise Conclusions
N/A Interest expenses / Interest bearing
liabilities† Divided opinions among respondents on the usefulness of this risk indicator. This ratio was not included in the guidelines. N/A Total loans / Total deposits
¶
Divided opinions among respondents on the usefulness of this risk indicator. This ratio was not included in the guidelines. N/A Balance sheet growth ¶
Divided opinions among respondents on the usefulness of this risk indicator. Only excessive growth should be considered as risky. This ratio was included only in the examples of additional risk indicators. N/A Qualitative indicators based on supervisory / external rating ¶
The majority of comments supported the use of qualitative indicators reflecting the management. Some concerns were expressed about the confidentiality of supervisory information and the availability of external ratings. The indicator was included in the examples of additional indicators. It is not obligatory and can be used in the calculation methods subject to data availability problems. External ratings can be used as the additional indicator if they are available for all member institutions of the particular DGS. Potential use of DGS funds Unencumbered assets / Covered deposits N/A Many respondents recommended the use asset encumbrance ratio since it directly influences the potential loss of the DGS. One respondent recommended to use an enhanced version of this ratio – i.e. Unencumbered assets / Covered deposits because it better reflects which part of the pay-out (for covered deposits) the DGS can recover from the unencumbered assets of the institution. The ratio was included in the core indicators.
Notes: Result of the survey accompanying the EBA test exercise on DGSs. *Indicator is used in all three test systems; †Indicator is used in systems two and three; ¶ Indicator is used in system three only. GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
56 The baseline scenario and the results of the survey show that there is a common set of indicators (which may be grouped into risk categories) that the national DGSs currently use or consider necessary to use in the future for calculating DGS contributions. In addition, the text of Directive 2014/49/EU provides that the calculation methods ‘may take into account […] risk indicators including capital adequacy, asset quality and liquidity’. On the other hand, the European framework of (SREP, which is equivalent to the CAMELS approach, envisages that the comprehensive assessment of the institutions’ risk profile should cover the following four areas: capital adequacy, liquidity and funding, business model and strategy, and internal governance and institution-wide controls. The risk categories were selected in order to ensure that a sufficiently wide spectrum of institution’s activities is taken into account when assessing the risk profile and that all crucial areas are reflected in the calculation method. At the same time, it was necessary to include only these risk categories that would be applicable to institutions of various business models across the Union. Finally, apart from the risk categories reflecting the likelihood of institution failure, it was important to include also an additional risk category which reflects the potential loss of the DGS. Taking into account all the considerations mentioned above, Table 6 presents the risk categories and core risk indicators included in the guidelines. Table 6 Risk categories and core indicators proposed in the guidelines Risk category Core risk indicators Capital - Capital coverage ratio or CET 1 - Leverage ratio
- LCR
- NSFR Asset quality - NPL ratio Business model and management - RWA / Total assets - Return on assets (RoA)
- Unencumbered assets / Covered deposits C.
Option 3a: equal weights for all risk indicators or categories The choice of applying equal weights to all risk indicators / categories would be a simple approach from an operational viewpoint. However, this would translate into assigning the same relative importance to all risk indicators, while their significance vis-à-vis the risk posed to the DGS could vary. Option 3b: different weights for risk categories / indicators In contrast to equal weights, differentiated weights could better reflect the varying significance of various risk indicators or categories. On the other hand, the assessment of this option depends on how to determine that differentiation (i.e. either by expert judgement, exact calibration based on historical data or a combination of these two approaches). Option 3b.i: different weights determined by exact calibration only
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
57 This option may increase the predictive power of a model for calculating DGS contributions and ensure that the weights assigned to particular risk indicators represent on the probability that the institution will fail. Nevertheless, in order to conduct necessary statistical analysis it is essential to have historical data about failures of institutions and the values of the risk indicators from previous reporting periods. The number of failed institutions in a given period may not be large enough for the results of this analysis to be statistically significant. Moreover, with regard to a few risk indicators proposed in the draft guidelines the historical data is not available because they reflect new regulatory requirements which have not been measured or reported in the past. In any case, the results of the statistical analysis would need to be verified by applying expert judgement. Option 3b.ii: different weights determined by expert judgment only This option would be the easiest to apply and there would not be problems related to data availability. However, three drawbacks with this option might be: (i) lack of transparency in the decision-making under which some institutions may benefit from a particular weight structure in terms of lower contributions with respect to their risk levels; (ii) the autonomy of the DGS may be influenced by the competent authorities; and (iii) where full flexibility in specifying weights of risk categories / indicators is left to national DGSs, the degree of harmonisation may be relatively low and the option may fail to address the identified problems. Option 3b.iii: different weights determined by expert judgement with the possibility of revising the results if the statistical data becomes available An alternative option is to specify weights for risk categories by applying expert judgement and, at a later stage, when reviewing the EBA guidelines, revise the proposed weights on the basis of the statistical analysis of historical data. The proposed weights should be based on the supervisory judgement and will be re-calibrated by the EBA by 3 July 2017 as part of the first review of the guidelines on DGSs contributions, according to Article 13(3) of Directive 2014/49/EU, and at least every 5 years after this date. This option is expected to be a feasible and effective way of achieving the objectives of the guidelines; it is thus selected as the preferred option. D.
In order to calculate the aggregate risk weight (ARW) for each institution the aggregate risk score (ARS) shall be assigned for the purpose of classifying institutions according to their risk profiles. Two different approaches are set within the guidelines, which ought to be selected by each DGS having taken into consideration the characteristics of the national banking sector. The DGSs should also choose the appropriate calculation method after having considered all the relevant advantages and disadvantages associated with them.
Option 4a: discrete scale (the ‘bucket’ approach) GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
58 The first method considered for purposes of risk classification is to use a discrete scale (i.e. the ‘bucket’ approach). This method would have the advantage of setting incentives for banks to move between buckets in order to be classified in a more favourable way. However, this would carry the disadvantage of potential significant cliff-edge effects, with relatively similar institutions treated in a very different way. In addition, the calibration of buckets may be a difficult task. Option 4b: continuous scale (the ‘sliding scale’ approach) The second method considered for purposes of risk classification is to use a continuous scale (which would not require setting buckets). Such a method would carry the advantage of allowing for extensive differentiation among institutions, which is particularly helpful if there is a high degree of heterogeneity among institutions. This advantage is partially counterbalanced by the complexity of calibrating this method for a large number of institutions. Taking into account the merits of the ‘bucket’ approach and the ‘sliding scale’ approach, depending on characteristics of the national banking sector, the preferred option is to include in the draft guidelines the flexibility to choose either of these approaches.
Both in the ‘bucket’ approach and the ‘sliding scale’ approach, the calibration of boundaries established for mapping values of risk indicators to IRS has a significant influence on the risk differentiation achieved by the calculation method. Therefore, it is crucial to establish these boundaries by setting thresholds at levels which appropriately reflect differences between risk profiles of member institutions. Wrong calibration of boundaries may result in assigning the same IRS to member institutions, despite significant discrepancies in their risk profiles, and consequently hinder the risk differentiation offered by this calculation method. Given existing differences in banking business models and structures across Member States, as well as various accounting standards, at this stage it does not appear feasible to establish in the guidelines specific thresholds for boundaries for each core risk indicator. Harmonised boundaries set at EU level could have very different consequences across national banking sectors, or even DGSs, with very different memberships (for example, sectors with a lot of small banks, or DGSs with fewer members). Therefore, at this stage, instead of proposing a harmonised Union-wide calibration of thresholds for the core risk indicators, the guidelines introduce a general requirement for DGSs or competent authorities to define boundaries for risk indicators to ensure meaningful differentiation of DGS members depending on their riskiness, taking into account the regulatory requirements applicable to the member institutions and historical data on indicators’ values. The guidelines also stipulate that DGSs should avoid calibrating the boundaries in such a way that all member institutions, despite representing significant differences in the area measured by a particular risk indicator, would be classified into the same bucket (if using the ‘bucket’ approach) or fall outside the lower/upper boundary (if using the ‘sliding scale’ approach). E.
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
59 The objective of the assessment is to find an optimal model to calculate risk-based contributions to DGSs. This sub-section offers two models and illustrates their features with examples. Assumptions for the illustration For the purpose of the illustration the calculations are carried out for a Member State A in year 2X01 and the amount of total covered deposits under DGS is EUR 1.5 million. It is assumed that year 2X01 is the first year when the DGS in Member State A starts collecting ex-
covered deposits in 10 years (i.e. by year 2X11). Therefore, in line with the requirement to spread contributions as evenly as possible, the annual target level, representing annual total contributions (C) from all institutions in the Member State A in year 2X01, should reach approximately 1/10 of the target level, which should be calculated as follows: TC = EUR 1,500,000 x (0.1 x 0.008) = EUR 1,500,000 x (0.0008) = EUR 1,200
Table 7 shows the breakdown of the total covered deposits and the respective risk-unadjusted contributions by these institutions. Table 7 Covered deposits and risk-unadjusted contributions by institutions in Member State A in year 2X01
Institution 2
Institution 3
Total
The method for calculating risk-based contributions adopted in Member State uses four different risk classes, with different aggregate risk weights (ARW) assigned to each risk class as follows: 75% for the institution with lowest risk profile, 100% for institutions with the average risk profile, 120% for risky institutions, and 150% for the most risky institutions. The assumptions apply to both models and all scenarios. Option 6a: multiplicative model The multiplicative model for institution ‘i’ in Member State A in a given year 2X01 is defined as: (1)
where:
= Annual contribution of a member institution ‘i’; GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
60
= Contribution rate; =
Aggregate risk weight for institution ‘i’;
= Covered deposits of institution ‘i’; and
= Adjustment coefficient. Notice that µ does not have ‘i’ subscript therefore it is constant, i.e. the same for all institutions in a given year. As the illustration shows, in practice the adjustment coefficient µ will be used to reach the annual target level. µ = 1 if the sum of annual contributions equals the annual target level. Scenario 1: relatively high-risk institutions in year 2X01 Under Scenario 1, after applying only the risk-adjusting factor, the amount of total contributions from all institutions in Member State A (EUR 1,464) is higher than the planned total annual contribution level (EUR 1,200). Table 8 shows the estimates. Table 8 Risk-adjusted contributions by high-risk institutions in Member State A in year 2X01 Institution CD i (EUR) ARW i Risk-adjusted contributions (EUR) Institution 1
Institution 2
Institution 3
Total
Therefore, there is a need to use the adjustment coefficient µ to ensure that the total annual contribution (i.e. the sum of all individual contributions) equals 1/10 of the target level. In this case, the adjustment coefficient to be applied for all institutions can be calculated as µ 1 = EUR
1,200 / EUR 1,464 = 0.82. Table 9 shows the estimates for risk-adjusted contributions after the application of the adjustment coefficient µ 1 . Table 9 Corrected risk-adjusted contributions by high-risk institutions in Member State A in year 2X01 Institution CD i (EUR) ARW i Risk-adjusted contributions (EUR) Adjustment coefficient µ i Final risk-adjusted contributions (EUR) Institution 1
Institution 2
Institution 3
Total
Scenario 2: relatively low-risk institutions in year 2X01 GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
61 Under Scenario 2, when just the risk-adjusting factor is applied, the total contribution from all institutions in the Member State A is EUR 1,044 and it is lower than the planned total annual contribution of EUR 1,200, as shown in Table 10. Table 10 Risk-adjusted contributions by low-risk institutions in Member State in year 2X01
Institution 2
Institution 3
Total
The adjustment coefficient µ is applied in order to ensure that the total annual contribution equals 1/10 of the target level. Under this scenario, the adjustment coefficient to be applied for all institutions can be calculated as µ 2 = EUR 1,200 / EUR 1,044 = 1.15. Because the sum of the risk-adjusted contributions is lower than the threshold, the adjustment coefficient is greater than 1 and increases the contribution by each institution. Table 11 presents the calculations. Table 11 Corrected risk-adjusted contributions by low-risk institutions in Member State A in year 2X01
Institution CD i (EUR) ARW i Risk-adjusted contributions (EUR) Adjustment coefficient µ i Final risk-adjusted contributions (EUR) Institution 1
Institution 2
Institution 3
Total
Option 6b: additive model The additive model for institution ‘i’ in Member State A and for a given year 2X01 is defined as:
(2)
where:
= Annual contribution from a member institution ‘i’;
= Flat rate;
= Covered deposits of a member institution ‘i’;
= Contribution rate; and =
Aggregate risk weight of a member institution ‘i’. GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
62 Note that FR and CR do not have ‘i’ subscript as they are constant. These parameters can be calibrated to reach the global threshold for the total contributions. For simplicity, the following scenarios use the initial value of 60% for FR and of 40% for CR. Scenario 1: relatively high-risk institutions in year 2X01 Under Scenario 1, after applying only the risk-adjusting factor, the amount of total contributions from all institutions in the Member State A (EUR 1,306) is higher than the planned total annual contribution level (EUR 1,200) (Table 12). Table 12 Risk-adjusted contributions by high-risk institutions in Member State A in year 2X01
Institution 2
Institution 3
Total
It is then possible to adjust the flat rate (FR) and keep the contribution rate (CR) fixed in order to ensure that the total annual contribution level equals 1/10 of the target level of EUR 1,200. For instance, if CR = 40% and C = EUR 1,200, then FR must equal 51.23%. The adjusted values for contributions are presented in Table 13.
Table 13 Corrected risk-adjusted contributions by high-risk institutions in MS A in year 2X01 Institution CD i (EUR) ARW i Risk-adjusted contributions (EUR): [(51.23% x 0.0008 x CD i ) + (40% x 0.0008 x CD i x ARW i )] Institution 1
Institution 2
Institution 3
Total
Scenario 2: relatively low-risk institutions in year 2X01 Under Scenario 2, after applying only the risk-adjusting factor, the aggregate value of the contributions from all institutions in the Member State A (EUR 1,138) is lower than the planned total annual contribution level (EUR 1,200). The results are presented in Table 14. Table 14 Risk-adjusted contributions by low-risk institutions in Member State in year 2X01 Institution CD i (EUR) ARW i Risk-adjusted contributions (EUR): [(60% x 0.0008 x CD i ) + (40% x 0.0008 x CD i x ARW i )] Institution 1
Institution 2
Institution 3
Total
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
63
As in the example above, in order to comply with the global cap the fixed rate must be adjusted. If the CR = 40% and C = EUR 1,200, then FR must be set to 65.16%, as shown in Table 15. Table 15 Risk-adjusted contributions by low-risk institutions in Member State A in year 2X01 Institution CD i (EUR) ARW i Risk-adjusted contributions (EUR): [(65.16% x 0.0008 x CD i ) + (40% x 0.0008 x CD i x ARW i )] Institution 1
Institution 2
Institution 3
Total
As illustrated by examples in the two scenarios, the multiplicative model seems to deliver more balanced results than the additive model. Furthermore, the multiplicative model is simpler, since it does not require any specific weight to be set in order to balance the flat rate and the contribution rate. In both cases calculation results do need to be adjusted in order to reach the annual target level. However, under the multiplicative model all parameters are multiplied by the contribution rate, not only the risk-adjusted part, thus delivering more smoothed contributions.
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
64
4.2 Views of the Banking Stakeholder Group (BSG) Overall, the BSG supports the aims of the guidelines and underlines the importance of compulsory
States may provide for lower contributions from institutions in a regulated low-risk sector or those which are members of an IPS. However, the BSG stresses that the calculation method must not result in excessive reporting requirements for institutions. Additionally, the BSG emphasises that even though transparency is important, it is vital that the risk classification of institutions is not revealed to anyone other than the institutions themselves. The BSG finds that the proposed level of detail is appropriate to achieve sufficient harmonisation. It also supports the level of discretionary power in the guidelines for adjustment to specific characteristics of national banking sectors. The BSG finds the calculation formula to be sufficiently clear and transparent. However, in order to guarantee the protection of deposits, it suggests that the adjustment factor, µ, should only be used after the 0.8% target is met. The BSG supports the proposed minimum risk interval (75-150%). It also agrees to retaining the option of widening this interval, if national DGSs find it appropriate, in order to capture institutions’ diverse risk profiles. On the risk indicators, the BSG does not have any specific views but once again stresses that the calculation method should not lead to excessive additional reporting requirements. The BSG therefore emphasises that formal arrangements should be in place to provide the necessary information. The BSG favours the use of the CET1 ratio as a core capital indicator. As regards the treatment of IPSs, the BSG suggests an alternative approach to calculating contributions. Central institutions in IPSs typically hold very small amounts of covered deposits and thus the true risk that they pose to the IPS system as a whole will not be reflected in their contribution if covered deposits are the base for calculations. Therefore, the BSG suggests including in the guideline a section that regulates the ‘alternative own risk-based method’, allowed for in Directive 2014/49/EU. This would allow IPSs that are recognised as DGSs in accordance with Article 1(2)(c) of Directive 2014/49/EU to adjust contribution calculations with regard to the specific risk characteristics of their system. The BSG therefore suggests that IPSs should be allowed to use the amount of RWA (instead of covered deposits) as a calculation base. GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
65 The BSG considers that more guidance for calibrating thresholds, etc. for risk indicators is not necessary. Since the calibration is complex and requires careful measurement, the BSG suggests that supervisors include the measurement of calibration into their supervisory schedule. The BSG agrees with the analysis presented in the impact assessment. EBA feedback on the BSG’s opinion The EBA welcomes the opinion of the BSG and provides feedback on the main points raised by the group in the following section, together with the feedback on the public consultation.
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
66
4.3 Feedback on the public consultation The EBA publicly consulted on the draft proposal contained in this paper. The consultation period lasted for 3 months and ended on 11 February 2015. The EBA received 31 responses, of which 9 were confidential and were not published on the EBA website. This paper presents a summary of the key points and other comments arising from the consultation, the analysis and discussion triggered by these comments and the actions taken to address them, if deemed necessary. In many cases, several industry bodies made similar comments or the same body repeated its comments in the response to different questions. In such cases, the comments, and EBA analysis are included in the section of this paper where EBA considers them most appropriate. Changes to the guidelines have been incorporated as a result of the responses received during the public consultation.
There is overall support for the draft guidelines including the calculation formula. The main points raised by the respondents with regard to the draft guidelines are as follows:
Most respondents welcome the initiative to promote harmonised practices on risk-based contributions to DGSs across Member States. In particular, respondents support the mandatory ex-ante collection of contributions which they think will strengthen confidence in DGSs across Member States. However, due to the variety of national banking structures throughout the Union, respondents insist on there being sufficient degree of flexibility to accommodate the specific characteristics of those structures as far as possible. The EBA acknowledges the difficulty of developing a methodology which will cater for the specific features of banking structures of all Member States. Taking the views of the respondents into account, the EBA determined that the level of flexibility allowed in the current draft of the guidelines is sufficient. Institutional protection schemes (IPS) Some respondents stated that the guidelines do not appropriately reflect the specific characteristics of IPSs. In particular, the formula of the guidelines does not allow sufficient flexibility for IPSs since it is based predominately on covered deposits. Respondents thought the guidelines should better reflect elements which are important for the IPS structure.
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
67 The EBA acknowledges that the guidelines should be amended to take into account important features of IPSs (for example, their business model and risk profile). More specifically, the proposed method allows IPSs recognised as DGSs to use an extended formula to ensure that central entities systemic to the IPS contribute according to the risk they pose to the scheme. It is for competent authorities to assess, as part of the approval procedure, whether the introduction of the additional factor is commensurate with the risk of having to intervene in order to prevent the failure of institutions beyond the protection of covered deposits. This possibility is not restricted only to IPSs. Other schemes, provided the above-mentioned conditions are met, are allowed to exercise this option as well.
In general, there is wide support for the proposed composition of core risk indicators. However, some respondents raised concerns that: (i)
there is no universal definition of the NPL ratio and argued that this could undermine the aim of harmonised implementation across Member States; (ii)
the leverage ratio should not be used as it is a non-risk-weighted measure that does not take into account the riskiness of the institution. Some respondents suggested removing it entirely and argued that the other risk-weighted capital ratios must be given more prominence in the model; (iii)
instead of using the RoA measure, a couple of respondents suggest to use RoE because it better reflects the institution’s capacity to restore capital levels; (iv)
using RWAs will favour banks that use the IRB-approach and disfavour banks that use the standardised approach when calculating RWA. Ahead of the consultation, the EBA performed a test exercise in which Member States had an opportunity to comment on potential risk indicators. The indicators were to a large extent based on indicators currently used by Member State with risk-based contributions already in place. The vast majority of responses to the test exercise accepted the proposed indicators. Furthermore, indicators used in these guidelines are also, to a large extent, consistent with the risk indicators in the Delegated Act on contributions to resolution financing arrangements. Finally, some stakeholders were concerned that there is ambiguity on how to apply the adjustment factor µ, in order to avoid pro-cyclicality in contributions. In particular, respondents found it unclear who should determine the business cycle. The final guidelines provide that the cyclical adjustment should take into account the risk analysis undertaken by the relevant designated macroprudential authorities. The guidelines preserve flexibility for Member States to determine whether macroprudential authority’s approval is necessary when setting lower or higher contributions, or whether GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
68 macroprudential authority must merely be consulted, either on its own or as part of a wider consultation with other financial safety net participants.
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
69 Summary of responses to the consultation and the EBA’s analysis
Summary of responses received EBA analysis Amendments to the proposals Responses to questions in Consultation Paper EBA/CP/2014/35 Question 1. Do you have any general comments on the draft guidelines on methods for calculating contributions to DGSs? Harmonisation: Most of respondents welcome the EBA Draft guidelines. Five of them emphasised that the guidelines will be a considerable step towards the harmonisation of practices of national deposit guarantee schemes.
The EBA appreciates this positive feedback from respondents.
No amendment
Flexibility: Although, almost all respondents acknowledged the overall goal of harmonisation of the guidelines, nine respondents argued for more flexibility to allow the risk- based method to reflect specific characteristics of national banking structures.
The EBA acknowledges the difficulty of developing a methodology which will cater to the specific features of banking structures of all Member States. Taking the views of the respondents into account, the EBA determined that the level of flexibility allowed in the current draft of the guidelines is sufficient.
No amendment
Nine respondents stated that DGSs may use their own risk-based calculation methods to determine (and calculate) the risk-based contributions. Two respondents argued that the guidelines do not fully allow for the option presented in Article 13(2) of Directive 2014/49/EU. According to Art. 13(3) of Directive 2014/49/EU, the aim of the guidelines is to ensure consistent application of Directive 2014/49/EU. Own risk-based methods can be used, provided that they are in line with the principles and methodology of the guidelines. The EBA refers to the results of the second transition workshop on Directive 2014/49/EU where the European No amendment
GUIDELINES ON METHODS FOR CALCULATING CONTRIBUTIONS TO DGS
70 Comments Summary of responses received EBA analysis Amendments to the proposals Commission clarified that Article 13(1) of Directive 2014/49/EU is the general rule, and Article 13(2) of Directive 2014/49/EU is subordinated.
Eight respondents wrote that the guidelines do not appropriately reflect the specific characteristics of IPSs. In particular, the formula of the guidelines does not allow sufficient flexibility for an IPS since it is based predominately on covered deposits. Respondents thought the guidelines should better reflect elements which are important for the IPS structure.
The EBA agrees that the guidelines have to be amended to take into account important features of IPSs (for example, business model and the risk profile). More specifically, the proposed method allows IPSs recognised as DGSs to use an extended formula to ensure that central entities with low levels of covered deposits, but systemic to the IPS, contribute accordingly to the risk they pose to the scheme.
Yüklə 0,84 Mb. Dostları ilə paylaş:
|