EBA欧洲银行-BSG-response-to-Consultation-Paper-28EBA-CP-2015-12-291-October-2015_9页_283kb

EBA Banking Stakeholder Group Summary on EBA/CP/2015/12 Consultation Paper

Core Content

The EBA Banking Stakeholder Group (BSG) has provided detailed feedback on the Consultation Paper EBA/CP/2015/12, which outlines draft Regulatory Technical Standards (RTS) on conditions for setting higher risk weights and higher minimum Loss Given Default (LGD) values under the Capital Requirements Regulation (CRR). The BSG emphasizes the importance of harmonizing supervisory rules across the EU to ensure fair competition and efficiency for cross-border groups.

Main Concerns and Views

1. Scope and Specificity of Conditions

• The BSG believes that the current draft RTS is too limited and not sufficiently specific.
• A clear and comprehensive set of financial stability indicators is needed to support competent authorities in their assessments.
• The relationship between these indicators and financial stability should be explained in detail to ensure transparency and consistency.

2. Short-Term vs. Long-Term Objectives

• The BSG is concerned that the proposed actions may not address long-term structural changes in the economy.
• They suggest that the RTS should focus more on long-term financial stability, as macro-prudential tools like the Countercyclical Capital Buffer are better suited for short-term fluctuations.

3. Temporal Character and Reversibility

• The BSG recommends that the RTS should specify when the tools are considered successful and under what conditions and timing their use can be reversed.
• They emphasize the need for a rigorous annual analysis to allow for modifications of previously applied measures.

4. Potential Negative Impact on Institutions

• The BSG warns that the proposed measures could lead to unintended consequences, such as pushing institutions toward riskier segments or punishing those with strong credit policies.
• They suggest the introduction of a multiplier factor when financial stability considerations require higher minimum LGD values, to ensure a proportional impact based on portfolio quality and credit policies.

5. Consistency and Integration of Tools

• The BSG stresses the importance of consistency in the use, impact, and timing of all supervisory tools.
• They highlight the need for integration across different regulations to enhance financial stability.

Replies to Specific Questions

Question 1: Three Main Categories of Conditions

• The BSG does not see added value in specifying three categories of conditions.
• They argue that the essence of the CRR is to focus on "financial stability considerations" and the immovable property market, which should be the core of the RTS.

Question 2: Loss Experience and Expectations

• The BSG does not strongly oppose the conditions for loss experience and expectations.
• However, they stress the importance of specifying a time horizon for the analysis and application of the RTS.
• The current formulation may allow for undue volatility and national discretion in interpretation.

Question 3: Indicative Benchmarks for Risk Weights

• The BSG believes that the use of indicative benchmarks is problematic due to the lack of clarity and specificity.
• They argue that the benchmarks should not be mechanical and should be used as one of several factors in the assessment.
• They also suggest that the benchmarks should consider additional buffers and Pillar II measures, not just minimum capital requirements.
• The BSG is skeptical of the use of benchmarks for LGD due to the specificities of national markets and the complexity of integrating LGD with other internal model parameters.

Question 4: Specification of "Financial Stability Considerations"

• The BSG suggests that Article 3 should be omitted, as its content is already covered by Articles 2 and 5.
• These articles should clearly define "financial stability considerations" as a single category.

Question 5: Other Conditions for Higher Risk Weights

• The BSG supports the transparency and explicitness of the conditions.
• They emphasize the need to include timing in the assessment, answering "why now?" and "for how long?".

Question 6: Indicative Benchmarks for Higher Minimum LGD

• The BSG agrees that indicative benchmarks are not appropriate for setting higher minimum LGD values.
• They highlight the non-comparability of historical loss data across jurisdictions and the uncertainty in building such benchmarks.

Question 7: Other Conditions for Higher Minimum LGD

• The BSG reiterates the need for transparency in the reasoning behind the assessment.
• They again stress the importance of including timing in the evaluation.

Question 8: Impact Assessment Suggestions

• The BSG agrees with the discussion on the use of indicative benchmarks for LGD floors.
• They point out the high level of uncertainty in building these benchmarks and the non-comparability of historical data across jurisdictions.

Key Recommendations

• Clarify financial stability indicators and their relationship to the immovable property market.
• Specify a time horizon for loss assessments and forward-looking macroeconomic analysis.
• Introduce a multiplier factor for higher minimum LGD values to ensure proportionality.
• Avoid mechanical use of benchmarks and ensure that they are used as one of several factors.
• Consider timing and reversibility of supervisory actions.
• Enhance transparency and consistency across different supervisory tools and regulations.