+Guidelines on methods for calculating contributions to Deposit Guarantee Schemes (DGSs) (EBA/GL/2023/02)
---+1. Compliance and reporting obligations
------+Status of these Guidelines
---------+1. This document contains Guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 …
---------+2. Guidelines set the EBA view of appropriate supervisory practices within the European System of …
------+Reporting requirements
---------+3. According to Article 16(3) of Regulation (EU) No 1093/2010, competent authorities must notify …
---------+4. Notifications will be published on the EBA website, in line with Article 16(3).
---+2. Subject matter, scope and definitions
------+Subject matter
---------+5. These Guidelines fulfil the mandate given to the EBA under Article 13(3) of Directive 2014/49/EU …
------+Scope of application
---------+6. These Guidelines apply in relation to the development of methods for calculating risk-based …
---------+7. Competent authorities in cooperation with designated authorities should ensure that these …
---------+8. Where the competent authorities in cooperation with the designated authorities are responsi-ble …
---------+9. These Guidelines do not apply to the branches of third-country credit institutions. …
------+Addressees
---------+10. These Guidelines are addressed to deposit guarantee schemes, competent authorities and …
------+Definitions
---------+11. Unless otherwise specified, terms used and defined in the DGSD have the same meaning in the …
---+3. Implementation
------+Date of application
---------+12. These Guidelines apply from 3 July 2024. The addressees may apply these Guidelines instead of …
------+Repeal
---------+13. The Guidelines EBA/GL/2015/10 are repealed with effect from 3 July 2024.
---+4. Guidance on developing methods for calculating contributions to DGSs
------+4.1. Calculation formula
---------+14. The DGS should set the periodic contributions of a member institution ‘ i ’ by using the …
------+4.2. Contribution rate (CR)
---------+15. The DGS should determine the CR at least annually. The CR for a given period should be …
---------+16. At minimum, the DGS should set the periodic target level according to the result of the …
---------+17. Where the DGS has an outstanding liability, and taking into account the minimum requirement …
---------+18. The DGS may set the periodic target level higher than the minimum required under paragraph 16 …
---------+19. Taking into account paragraphs 16, 17 and 18, the DGS should set the periodic target level to …
---------+20. The competent authority in cooperation with the designated authority may allow the DGS to set a …
---------+21. The competent authority in cooperation with the designated authority may advise the DGS to set …
---------+22. Where a DGS levies extraordinary ex post contributions according to Article 10(8) of the DGSD …
------+4.3. Covered deposits (CD)
---------+23. In relation to Article 7(3) of the DGSD, if a member institution does not accurately determine …
---------+24. For the purpose of calculating the contributions to the DGS fund, in other cases where there is …
------+4.4. Adjustment coefficient ( µ )
---------+25. The DGS should calculate the adjustment coefficient µ according to the following formula: ∑ 𝑛 …
---------+𝜇 = ∑ 𝑛 𝑖=1 𝐴𝑅𝑊 𝑖 ∗ 𝐶𝐷 𝑖
------+4.5. Calculation of the aggregate risk weight (ARW)
---------+26. The DGS should assign the ARW for a member institution ‘i’ on the basis of the ARS for that …
---------+27. The DGS should calculate the ARS by summing up all individual indicators’ risk scores (IRS) of …
---------+28. The DGS should calculate the IRS based on appropriate risk indicators.
---------+(i) Risk categories and risk indicators
------------+29. The DGS should calculate the ARW for an individual member institution based on a set of risk …
------------+30. Within each risk category, the DGS should include the core risk indicators specified in Table 1 …
------------+31. Where the competent authority in cooperation with the designated authority or the DGS remove a …
------------+32. DGS should apply either of the Capital Coverage Ratio or the Common Equity Tier 1 ratio as a …
---------+Table 1: Core risk indicators
---------+1. Capital
---------+2. Liquidity and funding
---------+3. Asset quality
---------+4. Business model and management
------------+33. In addition to the core risk indicators, the DGS may define and include additional risk …
------------+34. If a Member State has, through regulation, imposed restrictions on institutions within a …
------------+35. The DGS may reduce the contributions of a member institution that is part of an institutional …
------------+36. The DGS should use risk indicators that capture a sufficiently wide spectrum of sources of risk …
------------+37. The DGS should align the selection of the risk indicators with the best practices in risk …
------------+38. The DGS should use the values of risk indicators for each member institution calculated on an …
------------+39. However, the DGS should calculate the value of risk indicators at a consolidated level where …
------------+40. Where a member institution has received a waiver from meeting capital and/or liquidity …
------------+41. To calculate values of risk indicators for a given period the DGS should use: a. the value at …
---------+(ii) Weights for risk indicators and categories
------------+42. The DGS should assign weights to all risk indicators in the method for calculating …
------------+43. When assigning weights to particular risk indicators, the DGS should assign at least the …
------------+44. The sum of the minimum weights specified in these Guidelines for the risk categories and the …
------------+45. The DGS should allocate the flexible 25% of weights by distributing them among the additional …
------------+46. Where a core indicator is not used, the DGS should assign the remaining core indicator from the …
------------+47. Where there is only one core indicator in a category, and this core indicator is not used, the …
------------+48. For any risk indicator, the DGS should assign it one weight and apply that same weight for all …
---------+(iii) Individual risk indicators (IRS)
------------+49. For each value of a risk indicator, the DGS should assign an individual risk score (IRS) …
------------+50. DGSs should apply expert judgement to calibrate the thresholds, but should in any case respect …
------------+51. In the ‘bucket’ method, for a given risk indicator, the DGS defines a fixed number of risk …
------------+52. For each bucket of a risk indicator ‘ j ’ , the DGS should determine an upper and lower …
------------+53. The DGS should set the number and boundaries of the buckets to ensure there is sufficient and …
------------+54. The DGS should not set an upper boundary for the highest bucket and should not set a lower …
------------+55. For each bucket of a risk indicator, the DGS should assign a corresponding IRS. The DGS should …
------------+56. In this method, for each institution ‘I’ and for each risk indicator ‘ j ’ , the DGS should …
------------+57. For each risk indicator the DGS should calibrate the upper boundary ‘ 𝑎 𝑗 ’ and the lower …
---------+(iv) Aggregating the IRS into the ARS
------------+58. Each IRS of the risk indicator ‘ j ’ for an institution ‘i’ should be multiplied by the risk IW …
---------+(v) Calculating the ARW based on the ARS
------------+59. For every ARS, the DGS should assign a corresponding ARW by setting the thresholds for the ARW …
------------+60. The DGS should assign the ARW to the ARS in such a way that it is possible for member …
------------+61. The DGS should set the upper threshold ‘α’ and lower threshold ‘β’ of the ARW to reflect the …
------------+62. The DGS should set the upper threshold ‘α’ of the ARW between 150% and 200%.
------------+63. The DGS should set the lower threshold ‘β’ of the ARW between 50% and 75%.
------------+64. The DGS may set a wider interval upon justification that the interval limited to 50%-200% does …
------------+65. If the DGS applies the bucket method, it should define ranges for the ARS in such a way that …
------------+66. The DGS should set the number of buckets ‘ P ’ in proportion to the number and variety of …
------------+67. If the DGS applies the sliding scale method, it should assign each ARS a corresponding ARW …
---------+𝐴𝑅𝑊 𝑖 = 𝛽 ∗ ( 𝛼 𝛽 ) ( 𝐴𝑅𝑆 𝑖 )
------------+68. In this method, the ARW associated to the ARS is growing exponentially, with an upper boundary …
------------+69. Where the distribution of the ARS of member institutions of a DGS covers only a partial range …
------------+70. The DGS should set the thresholds ‘ γ ’ and ‘ 𝛿 ’ so that no member institution ’s ARS exceeds …
------+4.6. Optional modifications to the calculation formula
---------+71. The DGS may modify the calculation formula in Section 4.1 of these Guidelines as described …
---------+(i) Minimum contribution
------------+72. The DGS may require member institutions to pay a minimum contribution (MC) irrespective of the …
------------+73. When setting a minimum contribution, the DGS should take due care of the risk of moral hazard …
---------+(ii) Use of DGS funds for failure prevention
------------+74. Where a Member State allows a DGS, including an IPS officially recognised as a DGS, to use the …
------------+75. Before the DGS may implement the additional factor, the competent authority in cooperation with …
---------+(iii) Stock-based contributions method
------------+76. Where the competent authority in cooperation with the designated authority allows the DGS to …
------------+77. To calculate 𝐶𝑅 𝑠𝑡𝑜𝑐𝑘−𝑏𝑎𝑠𝑒𝑑 , the DGS should apply paragraph 15, but should modify paragraph 16 …
------------+78. The sum of net contributions of previous periods of all n member banks of the DGS should be …
------------+79. The DGS should establish the sum of previous contributions of member institution ‘i’ for either …
------------+80. The competent authority in cooperation with the designated authority may require the DGS to …
------+4.7. Calibration of the calculation method and its regular review
---------+81. The DGS should calibrate the calculation method based on expert judgement, taking into …
---------+82. The DGS should reflect in the contribution of each member institution, and hence in the …
---------+83. The DGS should align the incentives provided by the calculation method with prudential …
---------+84. The DGS should take into account national accounting and reporting practices.
---------+85. The DGS should calibrate all elements of the calculation method to be consistent with relevant …
---------+86. The competent authority in cooperation with designated authority should regularly – at least …
---------+87. The DGS should review and, where necessary, recalibrate all the elements of the calculation …
------+4.8. Update or correction of contributions
---------+88. Where the DGS needs to adjust already paid periodic contributions of member institutions, for …
------+4.9. Data collection
---------+89. The DGS should have in place adequate systems to collect all the necessary information to …
---------+90. For the purpose of calculating contributions, the DGS should make use of information already …
---------+91. The DGS should only require data that is not already reported on a regular basis if such data …
------+4.10. Transparency and data confidentiality
---------+92. The DGS should disclose to the public at least the description of the calculation method and …
---------+93. The DGS should disclose the results of the risk classification and its components for a …
---------+94. The DGS should keep confidential the information used for calculating contributions which is …
------+4.11. Approval of calculation method
---------+95. The DGS should seek approval from the competent authority in cooperation with the designated …
---+Annex 1 – Method for identifying x for calculating minimum contributions
------+1. The following method describes how to identify ‘ x ’ to calculate the contribution rate of the …
------+2. First, the DGS should rank all member institutions in increasing order by the product of their …
------+3. Second, for each member institution, the DGS should calculate separately the interim …
------+4. Third, the DGS should compare the 𝑖𝑛𝑡𝑒𝑟𝑖𝑚𝐶 𝑟 of each member institution with the minimum …
------+5. Fourth, the DGS should apply the identified number ‘ x ’ of institutions paying the minimum …
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Guidelines on methods for calculating contributions to Deposit Guarantee Schemes (DGSs) (EBA/GL/2023/02)

Guidelines on methods for calculating contributions to Deposit Guarantee Schemes (DGSs) (EBA/GL/2023/02)

https://www.eba.europa.eu/activities/single-rulebook/regulatory-activities/depositor-protection/guidelines-methods – PDF

1. Overview

,
1. Compliance and reporting obligations

1. Compliance and reporting obligations
2. Subject matter, scope and definitions

2. Subject matter, scope and definitions
3. Implementation

3. Implementation
4. Guidance on developing methods for calculating contributions to DGSs

4. Guidance on developing methods for calculating contributions to DGSs
Annex 1 – Method for identifying x for calculating minimum contributions

Annex 1 – Method for identifying x for calculating minimum contributions

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • EBA - Published by the European Banking Authority at https://www.eba.europa.eu/