EBA欧洲银行-2014-09-25-BSG-Opinion-on-EBA-CP-2014-10_8页_219kb

EBA Banking Stakeholder Group Consultation Summary on EBA/CP/2014/10

Core Content

The EBA Banking Stakeholder Group (BSG) has provided feedback on the draft Regulatory Technical Standards (RTS) concerning the sequential implementation of the Internal Ratings-Based (IRB) Approach and the permanent partial use of the Standardised Approach (SA) under Articles 148(6), 150(3), and 152(5) of Regulation (EU) No 575/2013 (CRR). The BSG supports the harmonization of supervisory rules across Europe but highlights several concerns regarding the proposed thresholds and criteria.

Main Views and Key Points

General Comments

• The BSG welcomes the initiative but has reservations regarding the legal basis for the proposed quantitative measures on exposure amounts.
• They argue that the lack of legal foundation for such measures disqualifies the introduction of the suggested conditions.
• The BSG suggests that Article 2.1 (a) and (b) should be removed from the RTS.
• They emphasize the importance of considering the ability to model and validate internal models when setting thresholds for material counterparties.
• A grandfathering clause is recommended to allow institutions already applying the IRB Approach to continue doing so without being affected by stricter requirements.
• Institutions not complying with the new standards should be given sufficient time to adapt.

Q1: Sequential Application of the IRB Approach

• The BSG supports a prioritized roll-out of the IRB Approach based on the impact on accurate risk measurement.
• Exposure classes such as Retail and Corporate are considered more suitable for early implementation due to the availability of good quality and sufficient data.
• They recommend that exposure classes with less data should be given lower priority.
• The BSG agrees with the 50% threshold in Article 4(2)(a) but suggests that the qualitative assessment should be more emphasized in the roll-out decision.

Q2: Permanent Partial Use of the SA for Article 150(1)(a) and (b)

• The BSG believes that the quantitative measures on exposure amounts in Article 2 are not legally supported and should be removed.
• They propose that the threshold for counterparties should be increased from 20 to 100, to avoid "modeling for the sake of modeling".
• The qualitative assessment should be given more weight, especially when the institution is close to the counterparty threshold.
• They also suggest that the 8% limit on total exposure should be raised to 15%, as it is overly strict.

Q3: Permanent Partial Use of the SA for Article 150(1)(c)

• The BSG supports raising the 8% limit to 15% to allow for more flexibility in the roll-out of the IRB Approach.
• They recommend that equity exposures be included in the "relevant exposures" if internal methods are used for capital calculation.
• Securitizations and expiring business units should be exempted from the "relevant exposures" definition.
• Promotional banks should also be exempted, as their business model does not support the application of the IRB Approach.
• The BSG suggests that CCPs with a 2% risk weight should be exempted from the "relevant exposures" as well.
• They recommend excluding CIUs from the "relevant exposures" entirely.
• The BSG favors Proposal 2 in the impact assessment due to its qualitative assessment approach.

Q4: Quantitative Thresholds

• The BSG recommends removing Article 2.1 (a) and (b) and changing Article 2.1 (c) to 100.
• They argue that the 8% limit on total exposure is too strict and should be increased to 15%.
• They suggest deleting Article 3(b), as a threshold based on risk-weighted exposure may introduce unwanted bias.

Q5: Separate Thresholds for Individual and Consolidated Basis

• The BSG believes thresholds should apply on a consolidated level, to avoid operational complexity affecting the risk profile of the group.
• They again favor Proposal 2 for its qualitative assessment on an institution-by-institution basis.

Q6: Impact Analysis

• The BSG suggests that the likelihood of developing accurate internal models should be more prominently considered in the RTS.
• They argue that forcing institutions to develop rating systems with low data availability may not improve the quality of capital requirement calculations and could harm efficiency.

Conclusion

The BSG advocates for flexibility, legal clarity, and qualitative assessments in the implementation of the IRB Approach. They recommend adjusting thresholds, exempting certain exposure classes, and raising the 8% limit to better reflect the actual risk and operational capacity of institutions.