2015年-EBA欧洲银行管理局_European_Banking_Authority_Banking_Stakeholder_Group_E2809320response_to_BCBS_2820Capital_floors_and_standardised_approach_for_credit_risk29_20页_3mb

EBA Banking Stakeholder Group Summary on Basel Committee Consultations (CP306 and CP307)

Core Content

The EBA Banking Stakeholder Group (BSG) has submitted detailed comments on two Basel Committee consultations: CP306 ("Capital Floors: Design of a Framework Based on Standardised Approaches") and CP307 ("Revision of the Standardised Approach for Credit Risk"). These consultations aim to increase risk sensitivity, reduce reliance on external ratings, and introduce capital floors to align the standardised approach with the Internal Ratings-Based (IRB) approach.

Main Views and Concerns

1. Joint Analysis of CP306 and CP307

• The BSG believes that the proposed standards should be analyzed jointly, as they affect the ability of banks to identify, measure, and cover credit risk.
• The introduction of capital floors may significantly impact IRB banks and portfolios, potentially constraining their risk-sensitive models.

2. Risk Drivers and Calibration

• The BSG is concerned that the proposed risk drivers (e.g., LTV and DSC ratios) are overly simplistic and may not capture risk accurately across different jurisdictions and sectors.
• Risk drivers should be global in definition but local in calibration by national regulators, under uniform rules and peer review.
• The current proposal does not account for local market specifics, leading to a false sense of homogeneity and potential misclassification of risk.

3. Impact on Specialised Lending

• There is no robust evidence of higher losses in specialised finance sectors such as project finance or income-producing real estate.
• Applying higher risk weights to these areas may lead to increased credit spreads, affecting the real economy.
• The IRB approach captures the track record of project selection and management, which should not be ignored in the new standardised methodology.

4. Pro-Cyclicality Concerns

• The proposed standardised approach may lead to pro-cyclical capital requirements, especially when using CET1 ratios.
• The BSG warns that simplification could lead to regulatory arbitrage and the undermining of sound credit allocation.

5. Role of External Ratings

• The BSG supports reducing reliance on external ratings but does not advocate for their complete abolition.
• External ratings provide a broader assessment of risk, including qualitative factors, and are updated over time.
• They are more reliable than the proposed simplified risk drivers, especially for bank and corporate exposures.

6. Use of Net NPA Ratio

• The net NPA ratio is not an effective measure for distinguishing credit risk.
• It is not consistently applied, is pro-cyclical, and lacks transparency.
• The BSG suggests that the new standardised approach should not impose a burden on banks, especially smaller ones.

7. Treatment of Short-Term Interbank Claims

• The BSG believes the risk weight for short-term interbank claims is too high.
• They advocate for the use of residual maturity rather than original maturity as a risk driver.
• A 30% floor risk weight results in a 50% increase in capital charges, which lacks empirical justification.

8. Treatment of Exposures to Non-Basel III Banks

• The BSG supports using external ratings where possible.
• They caution against forcing non-Basel III banks to comply with Basel III data requirements, which may be burdensome and unreliable.
• Covered bonds, which have a strong track record, should receive preferential treatment.

9. Leverage Ratio and Risk Drivers

• The leverage ratio is not a suitable standalone risk driver for corporate exposures.
• The relationship between leverage, profitability, and industry cyclicality must be considered.
• Accounting differences across jurisdictions may distort credit risk estimates, and the BSG suggests combining operational and financial leverage.

Key Recommendations

• Conduct a comprehensive quantitative impact study (QIS) to ensure proper calibration of the new standards.
• Avoid imposing binding floors on capital requirements unless there is clear evidence of risk underestimation.
• Ensure simplicity and transparency in the standardised approach, especially for smaller institutions.
• Use standardised disclosure templates and peer review mechanisms to improve consistency and comparability across institutions.
• Maintain flexibility for internal rating systems to continue providing valuable risk insights.

Conclusion

The BSG acknowledges the importance of the Basel Committee's goals to enhance comparability and reduce model risk but warns that the proposed tools may not achieve these objectives effectively. The group emphasizes the need for a balanced, flexible, and well-calibrated approach to ensure that the new standardised framework does not undermine the benefits of IRB models or create unintended systemic risks.