Submission #11

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European Banking Federation

Question 1: What are your views on the proposed framework in general? Please see document attached.

Question 2: What are your views on determining the supervisory leg (a constrained bottom-up approach such as the current approach or a hybrid approach with top-down models replacing some bottom-up elements)? Please see document attached.

Question 3: What are your views on determining the bank leg (a prescribed methodology with the possibility of relaxing constraints)? What are your views on the possibility to use ICAAP as the basis for the bank leg? What are the areas where ICAAP would not be suitable for this purpose? Please see document attached.

Question 4: What are your views on the alternative proposal to publish one single CET1 capital depletion which would result from a dialogue/synthesis between the competent authority and banks? Please see document attached.

Question 5: What are your views on the consideration of the bank leg outcome in forming the final supervisory outcome? Please see document attached.

Question 6: What are the costs of the new proposed framework and where do they come from? What are the benefits? How can the bank leg and supervisory leg be structured to mitigate costs and increase benefits? Please see document attached.

Question 7: Which constraints should be relaxed to improve realism (some of the constraints are listed in Annex 1)? Please rank the constraints by their importance in improving realism. Please see document attached.

Question 8: For generating the bank leg, would you prefer that banks have a discretion to relax certain methodological constraints or have a common methodology that would be less constrained than the one in the supervisory leg? Please see document attached.

Question 9: How different is the ICAAP approach from the supervisory leg (assuming the methodology is the same as in the current framework) if all constraints are dropped? Please see document attached.

Question 10: Would banks benefit from setting some assumptions for specific risks and giving general guidance, even if they are allowed to use their own models without constraints? Please see document attached.

Question 11: What are the benefits of the bank leg and how would you increase them? Please see document attached.

Question 12: What are your views on the possibility of having limited supervisory QA to the bank leg? Please see document attached.

Question 13: Which dynamic effects do you find are important to consider? Please see document attached.

Question 14: What are your views on the proposed granularity of disclosures? Is the granularity appropriate and does it contribute to an improved quality of banks’ stress test deliverables and practices? Please see document attached.

Question 15: What are your views on the disclosure of granular information based on the bank leg? Do you think that the bank view is the best option for providing transparency to the markets? Please see document attached.

Question 16: What are your views on a limited disclosure of the supervisory leg, mainly focused on the capital depletion from the stress test results? Do you see challenges in maintaining the overall comparability across banks? Please see document attached.

Question 17: How could the current transparency templates of the EU-wide stress test be improved? Please specify in detail what information should be included in or excluded from the transparency templates. Please see document attached.

Question 18: Is the granularity of the transparency on exposures and credit risk impairment deemed useful for market discipline? What are the potential drawbacks of such a granular disclosure? Please see document attached.

Question 19: What are your views on the proposed publication of two different CET1 capital depletions (i.e. the bank leg and supervisory leg)? How would you interpret two different outcomes? Please see document attached.

Question 20: What are your views on the disclosure of the bank leg knowing that the supervisory involvement would be limited to basic data checks of the starting points? Please see document attached.

Question 21: What would the challenges be in explaining differences between the bank leg and the supervisory leg? Are there limitations for the computation of the standalone impact of each driver of differences (e.g. from the removal of each constraint in the bank leg)? Please see document attached.

Question 22: What are your views on a possible disclosure of the differences between the bank leg and the supervisory leg? What level of detail of such a disclosure would you consider appropriate? Please see document attached.

Question 23: Do you identify benefits in following any of the three possibilities for a disclosure of stress test results that is more aligned with the final P2G? Please see document attached.

Question 24: Do you know of any drawbacks of publishing the banks’ final P2G? Please see document attached.

Question 25: What is your view on the public communication by banks of their management actions to restore the capital position and their capacity to distribute dividends? Please see document attached.

Question 26: Does the proposed framework fulfil the assessed criteria better than the current framework? Please see document attached.

Please see document attached. Question 27: Please provide your assessment of the criteria for the new framework in the matrix below, explaining, for each leg, how it fulfils the criteria, followed by an overall assessment of the new framework. Please assess the new framework against the current one, indicating firstly if the criterion increased, decreased or stayed the same, followed by an explanation.

Question 28: What are your views on the consideration of two common adverse scenarios? Please see document attached.

Question 29: What are your views on the consideration of two asymmetric adverse scenarios? Please see document attached.

Question 30: What are your views on the use of sensitivity analyses to complement a single adverse scenario? Please see document attached.

Question 31: What are your views on the use of exploratory scenarios to address risks in a longer term perspective? Please see document attached.

Upload files EBF_041711B - EBF response EBA DP on future of stress tests.pdf

Name of the organization European Banking Federation