EBA欧洲银行-EBA-CP-2015-09-CP-on-Assigning-RWs-to-Specialised-Lending-Exposures_44页_787kb

Summary of EBA/CP/2015/09 Consultation Paper

Core Content

This consultation paper outlines the European Banking Authority's (EBA) proposal for draft Regulatory Technical Standards (RTS) on assigning risk weights to specialised lending exposures under Article 153(9) of Regulation (EU) No 575/2013 (CRR). The goal is to ensure a consistent and prudent approach to risk weighting for these exposures, which are defined as exposures to entities created specifically to finance or operate physical assets, or economically comparable exposures, where repayment is based on the income generated by the assets rather than the general capacity of a broader enterprise.

The EBA proposes two methods for combining the various factors (financial strength, political and legal environment, transaction and/or asset characteristics, sponsor and developer strength, and security package) into a final category assignment for risk weights. These methods aim to provide clarity and harmonisation across EU institutions.

Main Features of the Draft RTS

• Definition of Specialised Lending Exposures: These are exposures to entities created specifically for financing or operating physical assets, or economically comparable exposures, with repayment dependent on asset income.

• Risk Weight Categories: Based on remaining maturity, exposures are assigned to one of five categories (1 to 5), with corresponding risk weights as per Table 1 in Article 153(5) of the CRR.

• Classification by Exposure Type: The draft RTS defines four classes of specialised lending: project finance, real estate, object finance, and commodities finance. Each class has specific assessment criteria for the factors mentioned above.

• Combination of Factors: Two options are proposed for combining the factors into a final category:

  • Option 1: Final category is at most one step lower than the highest category assigned to any factor.
  • Option 2: Final category is determined by the weighted average of the categories assigned to each factor, with a minimum weight of 10% per factor.

• Documentation Requirements: Institutions are required to document their decisions on how they assess and combine the factors, ensuring transparency and enabling regulatory review.

Key Points and Main Views

• Operational Challenges: The slotting approach may be complex and subject to variability in how different institutions interpret and apply the factors. The EBA seeks stakeholder input on whether this approach is feasible and whether it should be extended to other types of exposures.

• Default Handling: If a specialised lending exposure is deemed in default according to Article 178 CRR, it must be assigned to category 5, which corresponds to the highest risk weight.

• Remaining Maturity: The remaining maturity of an exposure is determined by the higher of the contractual remaining maturity and the expected remaining maturity. This is crucial for assigning the correct risk weight.

• Regulatory Context: The proposed RTS are based on the Basel framework and take into account European experiences. They aim to align with international standards while providing clarity for EU institutions.

• Stakeholder Consultation: The EBA invites feedback on the proposed methods for combining factors, their impact on capital requirements, and the need for further guidance.

Questions for Consultation

1. Operational Challenges of Slotting Approach: Are there comparable capital requirements across institutions using the slotting approach? Should the approach be extended to other exposure types?

2. Preferred Method for Factor Combination: Which of the two proposed methods (Option 1 or Option 2) is more feasible, clear, and transparent? Should further guidance be provided?

3. Alternative Approaches: Are there other methods to harmonise the combination of factors into a final category assignment?

Conclusion

The EBA's draft RTS aim to provide a harmonised and risk-sensitive approach to assigning risk weights to specialised lending exposures. They are based on the Basel framework and consider the specific characteristics of each exposure type. The two proposed methods for combining factors into a final category are open to stakeholder feedback, with the EBA seeking to ensure that the approach is both practical and consistent with the overall prudential requirements under the CRR.