2016年-EBA欧洲银行管理局_ESAs_2016_41_28Joint_Opinion_on_EC_amend_ITS_ECAIs_Mapping_CRR29_53页_462kb

Summary of ESAs' Opinion on Commission's Intention to Amend Draft ITS

Core Content

The European Supervisory Authorities (ESAs) have issued an opinion on the European Commission's intention to amend the draft implementing technical standards (ITS) related to the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) under Article 136(1) and (3) of Regulation (EU) No 575/2013 (CRR) and under Article 109a(1) of Directive 2009/138/EC (Solvency II Directive). The ESAs reject the proposed amendments, arguing that they undermine the prudential objectives of the mapping process.

Main Views and Key Points

Legal Basis and Procedure

• The ESAs were tasked with delivering an opinion on the Commission's amendments to the draft ITS.
• The ESAs' competence is derived from Articles 34(1) of Regulations (EU) No 1093/2010, 1095/2010, and 1094/2010.
• The opinion is based on the Rules of Procedure of each ESA's Board of Supervisors.

Purpose of the Mapping

• The mapping aims to assign appropriate risk weights to ECAI credit assessments in accordance with the prudential requirements of the CRR and Solvency II Directive.
• It is designed to ensure consistency, transparency, and reliability in capital requirements calculations.

Commission's Proposed Amendments

• The Commission proposes to remove the non-relaxed quantitative requirements that were set to apply from 1 January 2019.
• This would extend indefinitely the application of relaxed quantitative requirements for small and newly established ECAIs.
• The amendments also loosen the quantitative monitoring requirements for these ECAIs.

ESAs' Concerns

• The ESAs argue that the Commission's amendments would weaken prudential safeguards, potentially leading to underestimation of capital requirements.
• This could result in a lack of stability in the mapping process and create an unlevel playing field for ECAIs.
• The removal of quantitative requirements may incentivize ECAIs to provide minimal or low-quality data, which could compromise the reliability of the mapping.

Prudential Objectives

• The primary objective of the mapping is prudential, not competition-driven.
• The ESAs emphasize that the mapping methodology should ensure that the capital requirements reflect the true risk levels.
• The calibration of the Standardised Approach (SA) and Internal Ratings Based (IRB) Approach to credit risk relies on benchmark default rates.

Mapping Methodology

• The mapping methodology proposed by the ESAs includes a phase-in period of three years for ECAIs with limited data.
• During this period, relaxed quantitative requirements are applied to promote competition and support the development of historical data.
• After the phase-in period, non-relaxed quantitative requirements are enforced to ensure prudential consistency.

Importance of Quantitative and Qualitative Factors

• The mapping process must incorporate both quantitative and qualitative factors.
• Quantitative factors are used first, with qualitative factors playing a secondary role when quantitative data is insufficient.
• The use of qualitative factors should assist in reviewing and enhancing the mapping where necessary.

Default Definitions and Calculations

• Default definitions used by ECAIs should align with those in the CRR and Regulation (EC) No 1060/2009.
• Default rates should be calculated over a three-year time horizon to ensure comparability.
• The calculation should exclude public sector ratings and issue ratings to avoid bias and ensure accuracy.

Recommendations

• The ESAs recommend that the mapping methodology should ensure a level playing field between the SA and IRB approaches.
• They suggest that the Commission should consider alternative ways to stimulate competition without compromising prudential objectives.
• The original version of the draft ITS is attached as an annex to this opinion, reflecting the ESAs' position against the proposed amendments.

Conclusion

The ESAs reject the Commission's amendments to the draft ITS, as they believe they would undermine the prudential integrity of the mapping process and pose risks to financial stability. They advocate for a balanced approach that maintains prudential safeguards while promoting fair competition in the credit rating industry. The original mapping methodology, which includes a phase-in period and the use of both quantitative and qualitative factors, is deemed more appropriate for ensuring consistency, transparency, and reliability in the regulatory framework.