EBA欧洲银行-BSG-response-to-Consultation-Paper-28EBA-CP-2015-0829207-August-2015_6页_379kb

EBA Banking Stakeholder Group Summary on EBA/CP/2015/08

Core Content

The EBA Banking Stakeholder Group (BSG) has responded to the Consultation Paper EBA/CP/2015/08, which outlines Draft Implementing Technical Standards on the Mapping of ECAI's Credit Assessments for Securitisation Positions under Article 270 of Regulation (EU) No. 575/2013 (CRR). The BSG supports the initiative to harmonize supervisory rules across Europe, aiming to ensure fair competition and improve efficiency for cross-border banking groups. They also emphasize the importance of facilitating data sharing and avoiding reporting duplication.

Main Views

The BSG believes that the proposed mapping of ECAI credit assessments should be reviewed before the implementation of the new Basel Securitisation Framework in January 2018. They also suggest that the new European framework for Qualifying Securitisation (QS) might require an earlier review of the mappings, if implemented before 2018.

Key Points on the Proposed Mapping

• Current Mapping for Incumbent ECAIs: The BSG agrees with maintaining the existing mapping for the four incumbent ECAIs (S&P, Moody's, Fitch, and DBRS), as it was established in 2006 and reviewed in 2010. This is seen as a pragmatic approach given the ongoing regulatory changes and the limitations of historical data post-crisis.

• Reasons for Maintaining the Mapping:

  • A quantitative approach based on historical default rates would result in overly conservative capital requirements due to the poor performance of certain US securitization sub-classes.
  • The rating methodologies of the incumbent ECAIs have changed post-crisis, making historical data less relevant.
  • A quantitative mapping would need to be re-evaluated under the new BCBS framework.

• New ECAIs: The BSG supports the proposed mapping for newer ECAIs, acknowledging their limited track record and the insufficient historical data available. Harmonized mapping helps them gain market recognition and promotes competition in the rating sector.

Key Information

• The CRR currently allows the use of ECAI ratings under two articles: Article 251 (Standardised Approach) and Article 259 (a) (Ratings Based Method).
• The G-20 and FSB principles from 2010 and 2012 call for reducing reliance on external credit ratings.
• The Basel Committee has proposed a revised securitisation framework (finalized in 2014) that excludes mechanistic reliance on external ratings, placing SEC-ERBA (Securitisation External Ratings Based Approach) in a secondary position with different risk weights.
• The EBA aims to review the mappings before the implementation of the new framework in 2018.
• The new European QS framework may also require a review of the mappings, potentially earlier than 2018, depending on the Commission's timeline.

Answers to the Questions

Question 1: Do you agree with the proposed approach to the mapping of securitisation ratings issued by the incumbent ECAIs?

• Answer: Yes, the BSG agrees with maintaining the current mapping for the incumbent ECAIs as a transitory measure.
• Rationale:
  • The 2006 mapping has been reviewed and remains valid.
  • A quantitative approach based on historical default rates would lead to overly conservative capital requirements.
  • The poor performance of certain US securitisation classes does not reflect the better behavior in Europe.
  • The new BCBS framework may necessitate a re-evaluation of the mapping.

Question 2: Do you agree with the proposed approach to the mapping of securitisation ratings issued by small/more recent ECAIs?

• Answer: Yes, the BSG agrees with the approach.
• Rationale:
  • New ECAIs have limited historical data.
  • Harmonized mapping helps them gain market recognition and promotes competition.
  • However, the BSG notes that confidence in ratings from new ECAIs may not be equivalent to that of incumbent ones due to lack of experience and market dynamics.

Question 3: Do you see any adverse market implications/conceptual drawbacks from inconsistent mappings across the Standardised Approach and the securitisation framework?

• Answer: No, the BSG does not foresee adverse market implications from different mappings.
• Rationale:
  • Institutions using the IRB approach for non-securitisation exposures do not face conflicts.
  • For banks that have not transferred significant credit risk in securitisation, the positions are treated as if they were not securitised.
  • The difference in mapping between Article 136 and Article 270 is conceptually acceptable as securitisation involves additional risks (e.g., structuring, concentration).
  • However, excessive differences in capital requirements between direct holdings and securitised portfolios could discourage securitisation investment in Europe, as highlighted by the EBA.

Conclusion

The BSG supports a pragmatic and harmonized approach to mapping ECAI credit assessments for securitisation, recognizing the need for transitory measures and the importance of consistency. They also highlight the need for a review before the implementation of the new Basel and European frameworks, to ensure that the mappings remain relevant and fair.