EBA欧洲银行-EBA-Opinion-on-measures-in-accordance-with-Article-458-CRR_6页_243kb

报告摘要

EBA Opinion on the Extension of the Risk Weight Floor for Residential Mortgage Loans in Finland

Core Content

The European Banking Authority (EBA) has issued an opinion on the extension of a measure introduced by the Finnish Financial Supervisory Authority (FIN-FSA) under Article 458 of Regulation (EU) No 575/2013 (CRR). The measure applies a minimum average risk weight floor of 15% for residential mortgage loans to credit institutions using the internal ratings-based (IRB) approach, effective from 1 January 2020 to 31 December 2020.

The EBA's competence to issue this opinion is based on Article 34(1) of the EBA Founding Regulation and Article 458(4)(2) of the CRR. The opinion was adopted by the Board of Supervisors in accordance with Article 14(5) of the EBA Rules of Procedure.

Main Points of the Measure

Objective: To address macroprudential/systemic risks related to residential mortgage loans and indebtedness in Finland.
Rationale: The Finnish housing market continues to exhibit elevated risks, including high debt-to-income ratios, variable interest rate dependence, and regional price overvaluation.
Impact: The measure is expected to increase the minimum total capital requirement for Finnish credit institutions by approximately EUR 700 million as of Q1 2019.
Calibration: The average risk weight floor is considered less intrusive than a risk weight add-on, as it provides a uniform back-stop for capital allocation.

Key Concerns and Recommendations

Concerns Raised by the EBA in 2017

The EBA questioned whether the risk weight floor was the most effective measure, suggesting that a review of internal models (Article 101 and 102 of CRD) could have been more effective in increasing risk weights.
The floor may not be effective for institutions already close to or above the threshold, as it would have minimal impact.
The EBA also raised concerns about the potential overlap with Pillar 2 requirements and the lack of transparency in the measure.

Alternative Measures Considered

Article 124 of the CRR: Not applicable to IRB banks.
Article 164 of the CRR: Increasing LGD floor is not relevant to the current measure and may increase disparities in risk weights.
Articles 101 and 102 of the CRD: Existing models do not account for systemic risks and second-round effects.
Articles 103 and 104 of the CRD: Not effective due to the involvement of foreign-owned banks and the need for coordination.
Article 133 of the CRD (SRB): The application of a systemic risk buffer is uncertain and may not have the same impact as a risk weight floor.
Article 136 of the CRD (countercyclical capital buffer): Not suitable for structural macroprudential risks.

EBA's Stance on the Extension

The EBA acknowledges the continued macroprudential risks in the Finnish economy and does not object to the extension of the measure.
However, it reiterates the concerns from 2017, including the effectiveness, calibration, and potential overlap with other capital requirements.
The EBA recommends that the FIN-FSA closely monitor the property market and reassess the measure in light of upcoming regulatory changes, such as the introduction of a sectoral SRB under CRD V/CRR II.

Conclusion

The EBA supports the extension of the risk weight floor for residential mortgage loans in Finland but emphasizes the need for further review and alignment with future regulatory frameworks. It encourages the FIN-FSA to monitor market developments and reconsider the measure in light of evolving regulations and the potential for overlap with other capital requirements.

References