2016年-EBA欧洲银行管理局_EBA_Report_on_the_regulatory_review_of_the_IRB_Approach_27页_615kb

EBA's Regulatory Review of the IRB Approach Summary

Core Content

The European Banking Authority (EBA) conducted a consultation on its Discussion Paper titled "The Future of the IRB Approach" in March 2015, aiming to review and potentially reform the Internal Ratings-Based (IRB) approach across the European Union (EU). The report summarizes the industry responses and outlines the EBA's considerations and plans for the regulatory review.

Main Purpose and Objectives

• To ensure a more harmonized application of the IRB approach in line with the Capital Requirements Regulation (CRR).
• To improve the comparability and operational efficiency of capital requirements across institutions and jurisdictions.
• To address discrepancies in risk estimates and capital requirements that do not stem from actual differences in risk profiles.
• To align with international regulatory developments, particularly those from the Basel Committee on Banking Supervision (BCBS).

Key Findings from Consultation Responses

1. Prioritisation and Timelines

• Industry broadly supports the EBA's prioritization of regulatory deliverables.
• There is a strong emphasis on the definition of default as a foundational element.
• Concerns exist about the ambitious implementation timelines, with many respondents suggesting a longer period (3–7 years) to accommodate the complexity of changes.
• A transitional period for data adjustments is requested, as well as grandfathering, data proxies, or waivers for historical data.

2. Technical Adjustments

• Definition of Default: Respondents highlighted the need for clarity on:
  • Days past due
  • Technical defaults
  • Indications of unlikelihood to pay
  • Distressed restructuring
  • Multiple defaults
  • Recovery (monitoring) periods
• Risk Estimates: Clarification is needed on:
  • PD and LGD parameter estimation
  • Margin of conservatism and its application
  • Treatment of low default portfolios
  • Default rate calculation
  • Indirect costs and loss definitions
  • Credit risk mitigation techniques
  • Concepts like "long run average" and "economic cycle"
• Treatment of Defaulted Assets:
  • Clarification is needed on forbearance cases, discount rates, and calibration.
  • The expected loss best estimate (ELBE) requires further guidance, especially on point-in-time estimation and its link to accounting provisions under IFRS 9.
• Scope of Application of the IRB Approach:
  • Flexibility in roll-out plans is necessary, especially for low default portfolios and portfolios with structural changes.
  • The five-year roll-out period is seen as too restrictive for complex institutions.
  • Strict requirements may lead to lower quality of models if institutions focus on meeting timelines rather than improving risk management.

3. Internal Risk Management Processes

• The assessment methodology includes requirements on internal models, corporate governance, risk estimation, decision-making, and stress testing.
• Some institutions expect no major changes, while others anticipate the need for adjustments, particularly in the independence of validation functions and proportionality for smaller institutions.
• Stress testing is considered important for capital requirements and needs more precise guidance, especially regarding its treatment under Pillar 1 and Pillar 2.

4. Credit Risk Mitigation (CRM)

• The CRM framework is considered of utmost importance, but the current focus in the CRR is limited to specific aspects.
• Respondents suggest that the scope and granularity of eligible credit risk mitigation techniques under the Foundation IRB Approach should be expanded.
• There is a call for coordination with Basel to ensure consistency.
• Some respondents propose that CRM-related work should be carried out in parallel with LGD model redevelopment to avoid multiple IT system changes.

5. Other Areas of Discrepancy

• Double validations and divergent supervisory approaches between home and host authorities are identified as areas needing harmonization.
• Discrepancies between EU and non-EU authorities (e.g., materiality thresholds) are also noted, with a suggestion for coordination with Basel to prevent further divergence.

EBA's Considerations and Intentions

• The EBA plans to finalize the regulatory review in four phases, with the last phase to be completed by the end of 2017.
• Implementation of changes in institutions' models and processes is expected to be completed by end-2020.
• The EBA will continue to refine its work plan based on ongoing reflections and international developments.
• It emphasizes the importance of supervisory consistency and transparent communication to enhance comparability and operational efficiency.
• The EBA supports the continued use of the IRB approach, recognizing its risk sensitivity as a key strength.

Conclusion

The EBA aims to harmonize the IRB approach across the EU, ensuring consistency and comparability in capital requirements while maintaining its risk-sensitive nature. The consultation responses highlight the need for flexibility in timelines, clarity in technical definitions, and coordination with international standards. The EBA is committed to a realistic implementation plan and will continue to work on developing technical standards and guidelines to support the reform of the IRB approach.