The EACB welcomes welcome the possibility to comment on the EBA proposals presented in the Discussion Paper on the simplification and assessment of the credit risk framework. The continuous expansion of the regulatory framework over recent years has led to a significant increase in complexity and, on several instances, introduced limited additional benefits in terms of risk sensitivity or contribution to financial stability, undermining the principle of proportionality. Against this background, we consider it appropriate for the EBA to explore opportunities to enhance the efficiency and clarity of the credit risk framework.
In our response, we made the following recommendations:
- Use accounting-based loss definitions for CRR Article 430a reporting
- Use CRR Article 430a loss data to assess real estate risk weights
- Simplify the real estate framework
- Clarify the new ECAI / external ratings framework
- Reflect on how the integration of environmental and social risks can be supported via shared data sources and transitional arrangements
- Simplify IRB modelling requirements
- Simplify Margin of Conservatism and fallback approaches
- Address low default portfolio and master scale modelling challenge
- Strengthen the EBA analytical framework with proportionality and competitiveness