EBA欧洲银行-BSG-opinion_3页_96kb

Banking Stakeholder Group Summary on EBA Consultation Paper EBA/CP/2012/09

核心内容

The Banking Stakeholder Group (BSG) has provided feedback on the European Banking Authority (EBA) consultation paper, which outlines Draft Regulatory Technical Standards (RTS) for credit valuation adjustment (CVA) risk. The focus of the consultation is on the determination of proxy spreads and the specification of a limited number of smaller portfolios. The BSG acknowledges the importance of the EBA's objective to ensure consistency in the implementation of CVA risk models across institutions, but raises concerns regarding the prescriptiveness of the proposed methodology and the granularity of proxy spread buckets.

主要观点

• Support for EBA Objective: The BSG supports the EBA's goal of providing clear guidelines to ensure consistent application of proxy spread methodologies and portfolio definitions.
• Criticism of Prescriptiveness: The BSG believes that the proposed methodology is overly prescriptive, potentially forcing institutions to alter their existing Value at Risk (VaR) proxy models even if they have already received regulatory approval.
• Granularity Concerns: The granularity of proxy spread buckets, particularly for rating, industry, and region, is seen as too strict. This could lead to data insufficiency and inaccurate proxy spread calculations, especially for regions outside the US where CDS data is limited.
• Preferred Granularity: The BSG suggests that industry should be divided into at least three broad categories: Corporates, Financials, and Sovereigns, to ensure sufficient data for proxy spread modeling.
• Aggregation Rules: The BSG recommends that aggregation by industry and region should be allowed if necessary to build a proxy spread, before resorting to the standard CVA capital charge.
• Threshold Evaluation: The 15% threshold for the number of smaller portfolios is considered more appropriate than the 10% threshold, as it better reflects the risk-sensitive nature of portfolio size limits. The BSG also notes that the 10% limit may not be sufficient to incentivize institutions to reduce non-IMM exposures.
• Definition of Portfolio Size: The BSG prefers Option 1 (exposure at default using the mark-to-market method) for determining the 10% size ratio, as it incorporates forward-looking elements and is more aligned with risk assessment principles.
• Implementation Impact: The BSG highlights that the proposed methodology could result in significant incremental costs for institutions, particularly those needing to modify their VaR proxy models to meet the new requirements.

关键信息

• VaR Proxy Methodology:
  • Not all institutions use rating, region, and industry in their proxy spread calculations.
  • The most common approach includes rating and industry.
  • Region is less commonly used, especially outside the US, due to limited CDS data.
• Data Availability:
  • Sub-categories for proxy spreads must be aggregate to ensure sufficient data for accurate modeling.
  • A lack of data can distort proxy spread accuracy.
• Aggregation Rules:
  • The BSG suggests that aggregation by industry and region should be permitted when necessary.
  • This approach allows for capturing market spread movements by rating, which is critical for CVA risk modeling.
• Thresholds for Smaller Portfolios:
  • The 15% threshold for the number of smaller portfolios is more suitable than the 10% threshold.
  • The 10% threshold may not be sufficient to drive meaningful changes in risk management practices.
• Portfolio Size Definitions:
  • Option 1 is preferred for determining the 10% size ratio due to its forward-looking nature.
  • Alternative definitions are not proposed, but the BSG suggests that the EBA's regional sub-categories should be treated as guidance, not strict requirements.
• Implementation Costs:
  • The BSG warns that the prescriptive nature of the proposal may lead to significant costs for institutions.
  • Institutions may need to revise their existing models and collect more data, which could be resource-intensive.

结论

The BSG emphasizes the need for flexibility in the regulatory approach to CVA risk modeling, particularly in the use of proxy spreads and the definition of smaller portfolios. While the EBA's objective of consistency is welcomed, the rigidity in the proposed methodology may not be appropriate for all institutions. The BSG advocates for a risk-sensitive and data-driven approach to ensure the accuracy and reliability of CVA risk models without imposing unnecessary constraints.