EBA欧洲银行-Public-hearing-GL-on-CRM_21页_1mb

报告摘要

EBA Draft Guidelines on Credit Risk Mitigation (CRM) for Institutions Applying the IRB Approach with Own Estimates of LGDs

Core Content

The European Banking Authority (EBA) has published draft guidelines on credit risk mitigation (CRM) for institutions using the Internal Ratings-Based (IRB) approach with their own estimates of Loss Given Default (LGD). These guidelines aim to provide clarity on the application of CRM techniques under the Advanced IRB (A-IRB) approach, complementing existing regulatory products and aligning with the Basel III framework.

Main Views and Key Information

1. Regulatory Roadmap and Status

The EBA has structured the guidelines as part of a broader regulatory roadmap for the IRB approach, divided into four phases:

Phase 1: Assessment methodology – Finalised and awaiting COM
Phase 2: Definition of default – Finalised and in force
Phase 3: Risk parameters – Finalised and in force (some still awaiting COM)
Phase 4: Credit risk mitigation – Postponed due to the need for broader considerations on the CRM framework

Additionally, new initiatives include:

A Report on CRM under SA and F-IRB – Finalised
GL on CRM under A-IRB – In consultation stage

2. Background and Purpose

The guidelines are developed in response to industry feedback and EBA's analysis of the CRM framework in the context of the Capital Requirements Regulation (CRR).
They address the significant variability in practices and the need for clarity on CRM requirements across different approaches.
The guidelines complement:
- The Guidelines on PD and LGD estimation
- The treatment of defaulted exposures

3. Interactions with Basel III Standards

The final Basel III framework has introduced changes to the treatment and eligibility of CRM techniques.
Key adjustments include:
- Non-eligibility of conditional guarantees and nth-to-default derivatives
- Adjustments to junior liens on immovable properties
- Recognition of unfunded credit protection (UFCP) via the approach applied to direct exposures to the protection provider
- Deletion of the double-default formula
The EBA guidelines are consistent with the current CRR, and any elements related to Basel III reforms or potential inconsistencies are out of scope. These will be addressed in the EBA's response to the Commission's Call for Advice on Basel III implementation.

4. Treatment of Unfunded Credit Protection (UFCP)

UFCP is defined in Article 183 of the CRR.
A written legal opinion is required to verify the enforceability and legal effectiveness of UFCP in all relevant jurisdictions.
The legal opinion may support multiple credit protection arrangements if they are governed by the same law.
Defaulted guarantors are ineligible for CRM.

5. Effects of Credit Risk Mitigation

The guidelines outline methods for recognising the effects of CRM on risk parameters, particularly for funded credit protection (FCP) and unfunded credit protection (UFCP).

FCP:

The adjusted LGD is calculated as:
$$
LGD^* = LGD \cdot \frac{E^*}{E}
$$
where:
- LGD is the own estimate
- E* is the exposure value under Chapter 4 of the CRR
- E is the gross exposure value under Article 166 CRR
Risk-weighted exposure amounts are computed using LGD* and E*.

UFCP:

The guidelines allow for three methods of recognition:
1. Adjustment of PD and LGD under certain conditions
2. Substitution of the risk weight with that of the guarantor
3. Double default formula (subject to eligibility criteria)
A risk weight floor applies in all cases.

6. Eligibility Requirements

Funded credit protection (FCP) must meet:
- Legal certainty: Collateral must be legally enforceable in all relevant jurisdictions.
- Valuation consistency: Rules for collateral revaluation must be consistent for each type of collateral.
Unfunded credit protection (UFCP) requires:
- A written legal opinion to confirm enforceability and legal effectiveness.
- No need to estimate LGD for the obligor, only PD.

7. Selected Application Issues

Allocation of cash flows and costs in the case of partial guarantees
Multiple CRM techniques covering the same exposure
Backtesting of the substitution approach based on Expected Loss (EL) rather than PD and LGD separately

8. Expected Timelines

Publication of Consultation Paper: 25 February 2019
End of Consultation Period: 25 May 2019
Analysis of Responses: Q3/Q4 2019 (tentative)
Final Guidelines: Q4 2019 / Q1 2020 (tentative)
Implementation Date: Aligned with the IRB roadmap, with a final deadline of end 2020 (subject to supervisory approval)

Structure of the Guidelines

The guidelines are split into three main sections:

General Provisions: Clarify the applicability of CRR requirements to the A-IRB approach.
Eligibility Requirements: Provide detailed guidance on the eligibility of FCP and UFCP.
Effects of Credit Risk Mitigation: Detail how institutions should recognise the effects of eligible CRM techniques in risk parameters.

Additional Considerations

Portfolio guarantees: Are they eligible forms of collateral? The EBA is considering various structures and data availability for adequate reflection in LGD models.
Legal opinion: May be provided by an internal legal counsel.
Hierarchy of methods: For deriving LGD adequate to comparable direct exposure to the protection provider, the EBA outlines a hierarchy of methods for both substitution and risk weight floor applications.