2015年-EBA欧洲银行管理局_EBA-SME-Report_142页_2mb

报告摘要

Summary of EBA Assessment of SME Proposals for CRD IV/CRR

Core Content

The European Banking Authority (EBA) was mandated by the European Commission in July 2011 to assess the appropriateness of current risk weights (RWs) for SME lending and evaluate the impact of proposed changes in the CRD IV/CRR. The two main proposals under consideration were:

A reduction of the current 75% RW for SME lending by one third.
An increase of the regulatory threshold for SMEs from EUR 1 million to EUR 5 million.

The EBA concluded that while the rationale for supporting SME financing is understood, the proposed changes may not be the most effective or appropriate tools to achieve this goal. The report outlines the importance of SMEs to the European economy, the current regulatory framework, and the potential consequences of altering the RWs or thresholds.

Main Views

1. Importance of SMEs to the Economy

SMEs are referred to as the 'backbone' of the European economy, contributing significantly to employment and growth.
In 2010, there were 20.8 million SMEs in the EU, with over 90% being micro-firms.
SMEs account for 87.5 million jobs and 58.4% of GVA in the private sector.
Access to finance is the second most pressing issue for SMEs, after finding customers.

2. Regulatory Framework for SME Lending

SME lending is currently classified under the Retail exposure class with a 75% RW, while larger corporations fall under the Corporate exposure class with a 100% RW.
The CRD IV/CRR proposals include:
- A reduction in RWs by one third for SME lending.
- An increase in the threshold from EUR 1 million to EUR 5 million for SMEs.
The European Parliament proposed a supporting factor of 0.7619 for SMEs under the SA, which would reduce capital requirements by 24%.

3. Evaluation of the Proposals

3.1 Reduction of Risk Weights for SME Lending

The EBA found insufficient evidence to support a permanent reduction in RWs.
SMEs are riskier than larger corporations in terms of profitability, activity, and interest coverage.
The probability of default for SME retail portfolios is 55% higher than for corporate portfolios and 72% higher than for the entire asset class.
The current RWs already reflect a discount for SMEs, and a further reduction could undermine the consistency of the prudential framework.

3.2 Increase in the Retail/Corporate Threshold

Increasing the threshold would affect non-SME exposures and not specifically target SMEs.
The EBA suggests using firm size (e.g., turnover or balance sheet totals) rather than loan size to define SMEs.
This would allow for better risk calibration and differential prudential treatment based on firm size.

Key Findings

Capital requirements for SMEs are already lower than for larger corporations, reflecting their lower risk.
The capital conservation buffer (2.5% of RWs) is a key factor in the future capital requirements for SMEs.
A permanent reduction in RWs may not be appropriate due to model risk and the cyclical nature of SME lending.
Temporary capital relief could be a better alternative to alleviate the burden without compromising the regulatory framework.

Alternative Measures

The EBA recommends exploring other regulatory measures that could be more effective in improving SME financing, such as:

Promoting venture capital and private equity to support early-stage SMEs.
Improving access to capital markets for SMEs.
Enhancing rating consistency across the EU to improve SME creditworthiness.
Encouraging the use of guarantees (e.g., government-backed or mutual schemes).
Combating late payments to support SME liquidity.

Impact on Financial Stability

The EBA warns that altering RWs or thresholds could have systemic effects on financial stability.
Capital requirements are a key driver of lending behavior, and reducing them may lead to procyclical effects.
Temporary measures are preferred to avoid distorting the prudential framework.

Conclusion

The current RWs for SMEs are appropriate and reflect the risk profile of the sector.
A permanent reduction in RWs is not supported by sufficient evidence.
The increase in the threshold may not be an effective way to target SMEs.
Alternative measures such as promoting venture capital, improving rating consistency, and using guarantees are more promising for SME financing.
The EBA recommends a temporary capital relief for SMEs, rather than a permanent reduction, to ensure financial stability and regulatory consistency.

Annexes and Supporting Data

Annex 1 outlines the life cycle of SME financing needs.
Annex 2 covers liquidity standards and leverage ratios.
Annex 3 provides empirical data on SME creditworthiness.
Annex 4 includes the EBA stress test exercise.
Annex 5 discusses capital curves in the IRB approach.
Annex 6 presents a literature review on SME riskiness.
Annex 7 and Annex 8 examine SME portfolio riskiness and the relationship between asset value correlations and RWs.
Annex 9 and Annex 10 evaluate future impacts of alternative proposals.
Annex 11 defines SMEs.
Annex 12 provides impact assessment.
Annex 13 and Annex 14 include ECB surveys on SME access to finance and lending trends.