ERU, Alm.del - 2015-16 - Bilag 221: Dansk høringssvar på Basel-komitéens konsultation om revision af standarmetoden for kreditrisiko, fra erhvervs- og vækstministeren

Erhvervs-, Vækst- og Eksportudvalget 2015-16
ERU Alm.del Bilag 221
Offentligt

Basel Committee on Banking Supervision

Centralbahnplatz 2

4051 Basel

Switzerland

MINISTER FOR BUSINESS AND

GROWTH

Dear chairman Stefan Ingves

The Danish government appreciates the opportunity to comment on the

second consultative document on revisions to the standardised approach

for credit risk.

In the attached annex the views of the Danish government are specified in

more detail. For Denmark, the key issues are as follows.

First of all, we support the Basel Committee’s overall objective of en-

hancing risk sensitivity and comparability between institutions while at

the same time maintaining simplicity. However, this overall objective is

difficult to achieve in practice. In order to ensure risk sensitivity and

comparability in a way that reflects the underlying risks, differences be-

tween jurisdictions must be taken into account.

By way of example, the current Basel standard approach and the consulta-

tive document does not give covered bonds a specific treatment. Thereby

the legal and economic characteristics of covered bonds are not taken into

account. If this implies that covered bonds are bundled with other expo-

sures to institutions, the risk embedded in covered bonds could be over-

stated. In Europe, covered bonds have a specific treatment reflecting the

lower risk in these exposures. This specific treatment achieves a better

risk sensitivity and ensures that the risk weights reflect the underlying risk

of the exposures. It is in our view of utmost importance that we can keep

this specific treatment and we therefore find that the Basel Committee

should take this issue into account.

Secondly, the Danish government supports the Basel Committee’s view

that the objective of the revised standardised approach should be to ensure

that the capital requirement reflects the underlying risks and not to in-

crease the overall capital requirements as such. In this regard, however,

the calibration should not only take the global level into account. In our

view, it is equally important that the calibration does not impose an un-

warranted capital requirement increase for certain jurisdictions or specific

low risk portfolios where such an increase is not related to the underlying

risks of the exposures.

MINISTRY OF

BUSINESS AND GROWTH

Slotsholmsgade 10-12

1015 Copenhagen K

Denmark

Tlf.

+45 33 92 33 50

Fax.

+45 33 12 37 78

CVR-nr. 10092485

EAN nr. 5798000026001

[email protected]

www.evm.dk

ERU, Alm.del - 2015-16 - Bilag 221: Dansk høringssvar på Basel-komitéens konsultation om revision af standarmetoden for kreditrisiko, fra erhvervs- og vækstministeren

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Finally, we note that depending on the final standard, the revised stand-

ardised approach could end up as the basis for a capital floor for IRB in-

stitutions. It is in our view very important that a capital floor only serves

as a back stop to risk-based requirements. Risk-based capital require-

ments – when properly regulated and supervised – provide appropriate

incentives for credit institutions and they promote efficient capital alloca-

tion to the benefit of our economies. Such an approach could be followed

by implementing the capital floor as a supplementary requirement that

would only kick in if the risk-based minimum capital requirements and

buffers are lower than the capital floor. This is consistent with the Euro-

pean implementation of the current Basel accord.

Overall, as you will understand, the Danish government has major con-

cerns when it comes to the revised capital floors. We were therefore very

pleased to see the statement in the Danish media on 18

March 2016 from

Margaret Critchlow from the Basel Committee indicating that our con-

cerns on the possible effects are “speculative and based on rumours”.

I would be very interested in a meeting with you Mr. Chairman in the

nearest future in order to discuss the current work of the Basel Committee

and especially the revised capital floors.

Please also find our elaborated comments in the annex. As always, we

stand ready to answer any question you may have in relation to the above.

Yours sincerely,

Troels Lund Poulsen