EBA欧洲银行-EBA-Opinion-on-measures-in-accordance-with-Art-458-28Op-2017-1029_8页_234kb

报告摘要

The European Banking Authority (EBA) was notified by the Finnish Financial Supervisory Authority (FIN-FSA) of its intention to apply Article 458(2)(d) of Regulation (EU) No 575/2013 (CRR) to modify capital requirements in Finland.
The EBA's competence to provide an opinion is based on Article 34(1) of Regulation (EU) No 1093/2010 (EBA Founding Regulation) and Article 458(4)(2) of the CRR.
The EBA is required to provide its opinion within one month of receiving the notification to the Council, the Commission, and the Finnish Member State.

The measure sets a minimum average risk weight of 15% for residential mortgage loans for credit institutions using the Internal Ratings Based (IRB) approach.
It applies to residential mortgage loans collateralized in Finland and is implemented on a consolidated basis.
90% of the residential mortgage loan market is held by IRB credit institutions, with three systemically important institutions accounting for over 80% of the loan stock.
Six credit institutions will be affected by the measure.

The measure is justified by the increased macroprudential/systemic risk in Finland, including:
- High household indebtedness (127.1% of annual disposable income in Q1 2017).
- Vulnerability due to variable interest rates on a large share of residential mortgage loans.
- High proportion of housing loans (47% of euro-denominated loans in 2016).
- High loan-to-value (LTV) ratios at origination.
The increase in covered bonds secured by residential mortgage loans (31.1% of market funding and 40.6% of total bond funding) also raises concerns.
Finnish IRB credit institutions report low average risk weights (7.9%), which are below those of other Nordic countries.

Article 124 of the CRR does not apply to IRB credit institutions.
Article 164 of the CRR (increasing LGD floor) would lead to disproportionate increases in risk weights and would require a 30% LGD to achieve the same impact as the proposed 15% risk weight floor.
Articles 101 and 102 of the CRD are not applicable due to microprudential focus and lack of systemic risk consideration.
Articles 103 and 104 of the CRD are ineffective due to:
- The presence of foreign institutions in the Finnish mortgage market.
- Coordination challenges among authorities.
- Limited impact due to varying publication practices.
Article 133 of the CRD (Systemic Risk Buffer) is delayed and would not be available immediately, and does not apply to sectoral exposures.
Article 136 of the CRD (Countercyclical Capital Buffer) is cyclical, whereas the risk identified is structural.

The EBA acknowledges the macroprudential risks related to residential mortgage loans and household indebtedness in Finland.
The EBA raises open questions regarding the choice of measure, calibration, and impact.
The measure may reduce comparability of risk weights across institutions and lead to double counting in future stress tests.
The EBA suggests that institution-specific SRB could be a more efficient and transparent alternative, and that the situation should be reassessed once the SRB is implemented.
The EUR 450 million increase in capital requirements is already covered by existing buffers, raising questions about the effectiveness of the measure in ensuring loan loss resilience.

Objective: Address structural macroprudential risks in the Finnish residential mortgage market.
Measure: Introduce a 15% average risk weight floor for IRB retail exposures secured by real estate in Finland.
Impact: Estimated to increase capital requirements by EUR 450 million, but not require additional capital.
Limitations: May not effectively address systemic risks, and could lead to inefficiencies and lack of comparability.
Recommendation: Consider institution-specific SRB as a more effective and transparent solution.