2014年-EBA欧洲银行管理局_20131217_Report_on_the_pro-cyclicality_of_capital_requirements_under_the_IRB_Approach_43页_1mb

报告摘要

Summary of the Report on the Pro-Cyclicality of Capital Requirements under the Internal Ratings Based Approach

Core Content

This report examines whether the Capital Requirements Regulation (CRR) and Capital Requirements Directive IV (CRD IV) have a pro-cyclical effect, as mandated by the European Banking Authority (EBA) under Article 502 of the CRR. Pro-cyclicality refers to the dynamic interactions between the financial and real sectors of the economy that amplify business cycle fluctuations and may contribute to financial instability. The focus is on banks applying the Internal Ratings Based (IRB) Approach, as their minimum capital requirements (MCR) are inherently risk-sensitive due to the use of internal risk parameters such as probability of default (PD), loss given default (LGD), and exposure at default (EAD).

Main Findings

Pro-cyclicality Definition: Pro-cyclicality is the amplification of the economic cycle through financial sector activities, such as lending behavior, and is distinct from the natural cyclicality of capital requirements.
IRB Approach and Pro-cyclicality: Banks using the IRB Approach are more prone to pro-cyclicality because they compute PDs using a point-in-time (PIT) method, which leads to significant variations in capital requirements during economic expansions and recessions.
Empirical Analysis: The report presents two empirical analyses based on the ISG dataset, which covers semi-annual data from H2 2008 to H2 2012 for 60 banks using the IRB Approach. The findings indicate:
- A shift towards lower-risk portfolios, with increased retail and sovereign exposures and decreased bank and corporate exposures.
- Higher provisioning in corporate portfolios, which may have contributed to a decrease in capital requirements.
- A statistically significant negative correlation between capital requirements and the macroeconomic environment at both the bank and portfolio levels.
- The evidence on pro-cyclicality is weak, and a clear causal link between capital requirement regulation and the economic cycle could not be established.
Cyclicality of Capital Requirements: The report highlights that capital requirements may exhibit some cyclicality, but this does not necessarily imply a pro-cyclical effect. The cyclical effects of risk parameters like PD and LGD may be offset by changes in portfolio composition.
Regulatory Context: The report references the second EBA-ECB report on pro-cyclicality, which was published in April 2012. It also discusses the European Commission's report on the economic cycle impact of CRD in July 2012.

Key Information

Sample Description: The ISG database includes 60 banks from 12 countries, with an unbalanced distribution across EAD size buckets. More than half of the banks have an EAD below EUR 200 billion.
Capital Trends: Over the observed period, the average solvency ratio of European banks improved from 11.5% in H2 2008 to 14.5% in H2 2012. This was driven by increased capital resources and reduced risk-weighted assets (RWA).
RWA and Cyclicality: A clear cyclical pattern in RWA is observed, with fluctuations linked to the economic cycle. The decline in MCR over the sample period is attributed to the EBA 2011 recapitalisation exercise and preparation for new capital requirements.
Provisions and Capital Requirements: The regulatory calculation difference (RCD) is a key factor in capital requirements, as it reflects the shortfall or excess of provisions over expected losses (EL). This can influence the level of capital held by banks.

Policy Recommendations

Transparency and Documentation: Institutions should provide more information to competent authorities regarding their rating philosophy, PD calculation, and back-testing methodology.
Mitigation of Pro-cyclicality: The report suggests several policy options to reduce the pro-cyclical effect of capital requirements, including:
- Adopting a through-the-cycle (TTC) approach for PD estimation.
- Applying a multiplier to smooth out PD volatility.
- Implementing dynamic provisioning.
- Introducing a counter-cyclical capital buffer (CCB), as seen in the Basel III framework.

Conclusion

The report concludes that while there are some indications of pro-cyclicality in capital requirements, particularly for IRB banks, the evidence is not strong enough to establish a clear causal link between capital requirement regulation and the economic cycle. The complexity of the relationship between capital requirements, lending behavior, and the real economy, especially in the context of the recent financial crisis, makes it difficult to isolate the pro-cyclical effects of regulation. The report emphasizes the need for further research and improved transparency in the methodologies used by banks to calculate capital requirements.