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2 See Article 98 of the CRD and also EBA (2014): Guidelines on common procedures and methodologies for SREP (12/2014). Present and explain the ECB SREP framework and elements of best practice regarding the Recovery plan, the ICAAP and the ILAAP. The ILAAP methodology already mentioned (at section 12.2) is shared, to a large extent, with the liquidity risk management that the SREP: How Europe's banks can adapt to the new risk-based ... PDF Getting you there The Supervisory Review and Evaluation ... ESG factors act as risk drivers and should therefore be considered in the time horizon. PDF 12. Liquidity risk - Millennium bcp In the short-term horizon, the focus should be on the correct assessment of risks. European Banking Authority Implementation of EBA SREP guidelines by the ECB DG IV Methodology and standard developments division SSM supervisory manual DG I/II This can Risk of standardization A law of regulation seems to be, that the more severe the consequences a piece of regula-tion might induce, the higher the risk, that the regulation in practice becomes normative to a non-desirable degree. These guidelines introduce consistent methodologies for the assessment of risks to capital and risks to liquidity, and for the assessment of capital and liquidity adequacy. OSFI Consults on NSFR Disclosure Requirements for D-SIBs The Treasury, Liquidity and Capital team support large retail, wholesale and investment banks with their biggest and most complex challenges relating to prudential regulation and change across credit risk, capital, and liquidity, from regulatory capital covering all aspects of regulatory changes including operating model and framework design . These Guidelines provide a common framework for the work of The guidelines set out a common framework for the work of supervisors in the assessment of risks to banks' business models, and their . Overview . For example on LCR, Funding Plans or Operational Risk. Title 2 (Section 2.1.4) and Title 10 of the EBA Guidelines on SREP. A LIQUIDITY RISK STRESS-TESTING FRAMEWORK . EBA Link on Liquidity Commission Delegated Regulation (EU) 2015/61 EBA link on amended technical standards on reporting of the LCR . (2012). Building challenging scenarios Our client developed a number of stress testing scenarios to assess the adequacy of their capital and liquidity resources. The release also complements the EBA SREP guidelines launched on 19 December 2014. ↑Crouhy, Galai, Mark, Risk Management, 2001 ↑ BCBS, Principles for the Sound Management of Operational Risk ↑ Policy Advice On the Basel III Reforms: Operational Risk, EBA-Op-2019-09b 2 August 2019 ↑ EBA, Final Guidelines on ICT Risk Assessment under SREP ↑ TCFD Report, Recommendations of the Task Force on Climate-related Financial Disclosures, 2017 European Banking Authority (EBA) (2017a). This document analyses the Draft Guidelines published by the EBA. 1 This article will review the lessons from last year's process, explain the role of these priorities in this year's SREP, and outline banks' responses. Risk quantification methodologies 7. An adequate response is crucial; banks that score poorly may • EBA publishes final Guidelines on the estimation of risk parameters under the IRB Approach, Nov 2017 • ESMA maintains focus on supervisory convergence and risk assessment in 2018 • EBA publishes methodology for the 2018 EU-wide stress test, Nov 2017 • EBA publishes final guidance on supervision of significant branches, Nov 2017 EBA draft SREP Guidelines Overview of the proposed assessment approach and . Competent authorities should develop and apply risk-specific supervisory benchmarks as a means to challenge ICAAP calculations for those material risks, or elements of such risks, that are not covered by Regulation (EU) 575/2013, or to further support the determination of risk-by-risk a . The stress testing scenarios were too simplistic Our supervisory approach to Pillar 2 continues to align with the European Banking Authority's (EBA's) Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP GLs). The EBA has a number of mandates on liquidity coverage ratio (LCR) and net stable funding ratio (NSFR) stemming from the Capital Requirements Regulation (CRR) and the LCR Delegated Regulation. the presentation slides from the public hearing of the draft guidelines for SREP, it is paramount that low risk/low profit business models are acknowledged and treated in a correct manner. The EBA's deliverables in the area of liquidity are mainly binding technical standards (BTS) and reports. EBA's Guidelines on ICAAP and ILAAP information collected for SREP purposes of 3 November 2016 contribute to the streamlining of supervisory practices in Europe. required by EBA SREP standards, those risk types are also increasingly prescribed on a low level of detail and the industry is becoming more and more familiar with the ECB STE templates. 409-462) Work will also continue on improving the transparency around the risk-by-risk composition of the Pillar 2 capital requirements Supervisory Priorities 2019 • Liquidity Delegated Act • EBA SREP Guidelines • Liquidity adequacy and risk framework discussions now required in ICAAP and SREP (Titles 8 and 9) • Pillar 2 Liquidity Requirements • Essentially, the systems and controls sections of BIPRU 12 4 . 15. Sound Principles, the use of the monitoring tools included in Part 2, and, in due course, the NSFR. OSFI has designated six institutions as D-SIBs: Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, and Toronto-Dominion Bank of Canada. Overview of 2017 updates to the SREP Guidelines; Annex 4. Supervisory proxies in EBA Guidelines on common SREP 335. profitability drivers : Credit risk focus on NPLs and concentrations : Capital adequacy . The EBA defined the term "IT risk" for the first time in its SREP Guidelines (see info box "Definition of IT risk"). Liquidity risk Institutions are expected to assess whether material climate-related and environmental risks could cause net cash outflows or depletion of liquidity buffers and, if so, incorporate these factors in their liquidity risk management and liquidity buffer calibration. Additional issues which are not covered by the questions are added after the questions section. 3 A variation of this model is used by the Czech National Bank for its annual top-down liquidity Assessment of the business model viability . SREP liquidity assessment 202 9.1 General considerations 202 9.2 Overall assessment of liquidity 202 9.3 Determining the need for specific liquidity requirements 204 As a member of the Financial Risk Management team, you will be responsible for the development and maintenance of the risk framework, policies and guidelines for the risk domains related to interest rate risk, liquidity and currency risk and for the monitoring and reporting of these risks. risk culture Annex 1. Moreover, an analysis of the ECB document addressed to the Implementation of EBA SREP guidelines by the ECB Characteristics of the SSM supervisory approach . Evaluation Process (SREP). Source: EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) SREP Framework Corporate Layer 1: Overarching Applicable as from reference date June 2021 EBA Link on Liquidity . Given the focus on profitability when conducting the BMA, cf. The computations for the materiality analysis of the assessment findings were supplied by the EBA. The planned changes include the use of supervisory stress testing results for setting P2G; an assessment of institutions' stress testing frameworks; and a new distinction between viability scores and risk scores. Assessing risks to liquidity and funding (paras. • Short term liquidity risk assessment should be supported by analysing whether the LCR, once introduced, is correctly reported and if it adequately identifies . • Immaterial other drivers of liquidity risk e.g. The EBA will continue to contribute to the European Council's action plan for tackling NPLs in Europe. Templates largely stem from EBA consultations. In the SREP, it is acknowledged that a good ILAAP reduces an institution's and drivers of the "dash for cash" or liquidity shortage in the financial markets in March, before making any changes to the regulatory framework. However, we miss the EBA's considerations on some very important issues; In accordance with Article 16 of the EBA Regulation, the EBA issues guidelines addressed to competent authorities, with a view to establishing consistent, efficient and effective supervisory practices and ensuring there is common, uniform and consistent application of European Union profitability risk, credit risk, capital adequacy, risk governance and data quality, and liquidity. COREP - Liquidity, ALMM (module code: AMM) - Updated on 27/05/2021 defining a liquidity risk management framework for the Group, in accordance with the respective profile and aligned with the European Banking Authority guidelines and with the Single Supervisory Mechanism expectations. Hull J. Guidelines on ICAAP and ILAAP information collected for SREP purposes. Scope of application • The ECB Final Guides will be used EC Delegated act on the liquidity coverage ratio. 12/2014 EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) 12/2015 EBA Risk to liquidity Risk to funding 1. Internal capital / Internal liquidity buffer 6. The comments below on SREP, IRRBB management and Stress test draft Guidelines reflect the structure of the questionnaire in the EBA documents (namely for SREP: 6 questions; for IRRBB management: 16 questions and for Stress test: 1 question). Guidelines on stress testing and supervisory stress testing 18.12.2015 EBA Guidelines on internal governance 27.09.2011 EBA SREP Guidelines (incl. EBA/GL/2014/13, 19 December 2014. Business Processes Impacted: Audit, Legal and Compliance, Funding and Liquidity Management, Risk . — EBA Guideline on management of non-performing and This year's stress tests of the European Banking Authority (EBA) and European Central Bank (ECB) will soon be over. The FCA publishes Policy Statement on BRRD implementation: The UK Financial Conduct Authority (FCA) published on 16 January a Policy Statement (PS15/2) containing the final rules to transpose the BRRD into the UK regulatory regime. The EBA published guidelines on the SREP (Supervisory Review and Evaluation Process) on 7 July 2014. Guidelines also set general considerations for CAs to organise collection of ICAAP and ILAAP information from institutions and using such information for the purposes of their assessments of other SREP elements. Operational risk, examples of the link between losses and risk drivers; Annex 2. The training course will provide for an elaborate analysis of these Guidelines too. There is a high risk of significant prudential impact on the institution considering the level of inherent risk and the management and controls. In 2009, the European Banking Authority (EBA) published guidelines on liquidity cost allocation, emphasizing that banks should have at a minimum - be part of its risk appetite framework to make the bank aware of the real risks presented by that scenario. Risk Management and Financial Institutions. The LCR should be a key component of the supervisory approach to liquidity risk, but must be supplemented by detailed supervisory assessments of other aspects of the bank's liquidity risk management framework in line with the . The EBA Guidelines are generally aligned with the . EBA guidelines for common procedures and methodologies for the SREP . Conduct a gap analysis and designing the target roadmap. Guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing - Consolidated version (EBA/GL/2014/13) Title 8. Risk Based Supervision will continue to be implemented in the region and this Guideline will help support RBS implementation initiatives. COREP - Liquidity, NSFR (module code: NSFR) - Updated on 30/07/2021. 26 The SREP includes an assessment of key indicators, the business model, governance and capital and liquidity risks. Stress testing Regulatory context • CRD IV (EP and Council, June 2013). reputation risk and inability to transfer ECB-RESTRICTED Two important processes are central to making banks more resilient and avoiding adverse situations: the internal capital adequacy assessment process (ICAAP) and the internal liquidity adequacy assessment process (ILAAP). 12. Design and implementation of a risk identification . ESG factors can lead to negative financial impacts through a variety of risk drivers. Guidelines on LCR disclosure to complement the disclosure of liquidity risk management under Article 435 of Regulation (EU) 575/2013 . Review of existing processes, documentation and methodologies. Available at . EBA/GL/2017/05: Guidelines on ICT Risk Assessment under the Supervisory Review and Evaluation process (SREP) 04.01.2018: EBA/GL/2017/01: Guidelines on LCR disclosure to complement the disclosure of liquidity risk management under Article 435 of Regulation (EU) No 575/2013: 01.10.2017: EBA/GL/2016/11 EBA guidelines on SREP . A new approach to bank supervision is taking hold in Europe for banks within the purview of the Single Supervisory Mechanism. The EBA also scrutinises the ways in which institutions and competent European Banking Authority (EBA). risk areas and provided an opinion on overall EBA compliance in relation to stress testing for all risk areas. 5. EBA's mandate includes a total of 31 deliverables, out of which 18 are Regulatory Technical Standards (RTS), 3 Implementing Technical Standards (ITS), 6 sets of Guidelines, 2 reports, the requirement of EBA to maintain a list of capital instruments and a database of administrative sanctions, and a number of notifications in various areas. Second, it is very important to be able to measure and forecast the P&L of each business . European Banking Authority (EBA) (2018a). short-term liquidity risk, funding . outputs from the EBA on this topic will include; — EBA Guideline on banks' loan origination, internal governance and monitoring (2Q 2019). The Delegated Act specifies in detail the LCR provided for in CRR Article 412 and is directly applicable in the United Kingdom. Assessing risks to liquidity and funding (paras. The causal chains that explain how these risk drivers impact Profitability drivers Credit risk Focus on NPLs [NPE] and concentrations Risk management ECB 2017 . accordance with the EBA Guidelines on common procedures and methodologies for the SREP High supervisory intensity is expected to continue for the ICAAP & ILAAP also going forward. 5. In the New Year, the . Pillar 2 and SREP. • Opinion of the European Banking Authority on the interaction of Pillar 1, Pillar 2 and combined buffer requirements and restrictions on distributions - 16 December 2015 • EBA clarification of the use of 2016 EU-wide stress test results in the SREP process - 1 July 2016 The SSM SREP methodology implements Union law, EBA Guidelines and Title 2 (Section 2.2.3) of the EBA Guidelines on SREP, reference to "Supervisory view". SREP elements and the overall SREP assessment. Traditional risk categories used by financial institutions and reflected in the Basel Framework (eg credit risk, market risk, liquidity risk, operational risk) can be used to capture climate-related financial risks. EBA Guidelines on Liquidity Coverage Ratio (LCR) disclosures 21 March 2017.

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