EBA欧洲银行-EBA-SME-Report_142页_2mb

EBA Assessment of SME Proposals for CRD IV/CRR Summary

Core Content

The European Banking Authority (EBA) was mandated by the European Commission to assess the appropriateness of current risk weights (RWs) for SME lending and the potential impact of proposed changes in the CRD IV/CRR framework. The analysis was conducted between July 2011 and September 2012, with the aim of evaluating whether a reduction of the current RWs by one third or an increase in the regulatory threshold for SMEs from EUR 1 million to EUR 5 million would be suitable measures to support SME financing.

Main Proposals and Their Evaluation

1. Reduction of Risk Weights for SME Lending

• Rationale: A reduction in RWs is considered a direct way to ease capital requirements for SMEs.
• Risk Sensitivity: The current framework already applies a 75% RW for SMEs with exposures below EUR 1 million, reflecting the riskier nature of SMEs compared to larger corporations. However, the EBA found insufficient evidence to justify a permanent reduction.
• Consistency: Lowering RWs for SMEs could distort the relative risk charges across different exposure types, especially since secured exposures to other counterparties would face similar capital charges.
• Effectiveness: The EBA is skeptical that capital alleviation alone would significantly increase SME lending, as banks may not necessarily direct the relief towards SMEs.
• Alternatives Considered:
  • Temporary Exemption of the Capital Conservation Buffer: Could neutralise the impact of Basel III on SMEs without affecting the overall risk assessment framework.
  • Countercyclical Supporting Factor Deduction: A temporary reduction in capital requirements during downturns, which would be removed during economic upturns.
  • Supporting Discount: A temporary capital deduction applied at the end of the capital calculation process, which would not affect the internal consistency of RWs.

2. Increase in the Retail/Corporate Threshold

• Rationale: The European Commission proposed increasing the threshold from EUR 1 million to EUR 5 million to allow more SMEs to benefit from the less stringent capital charges of the Retail exposure class.
• Impact: This would inadvertently provide capital relief to non-SME exposures as well, which may not align with the objective of promoting SME lending.
• Alternative Suggestion: Using the size of the firm rather than the size of the loan as a criterion for assigning exposures to the Retail or Corporate classes. This would:
  • Better target SMEs.
  • Align capital requirements with actual credit risk.
  • Improve tracking of SME exposures.
  • Enable differential prudential treatment based on firm size.

Key Findings

• SME Riskiness: SMEs are generally more risky than larger corporations due to their less diversified income sources and higher default probabilities. The EBA found that the probability of default for SME Retail portfolios is 55% higher than for corporate portfolios and 72% higher than for the entire asset class.
• Capital and Lending: Capital is one of several factors influencing lending decisions, but it has a greater impact on large corporations than on SMEs. The tightening of lending standards since 2007 has been more pronounced for large firms.
• Financial Stability: The EBA warns that any permanent change in RWs or thresholds could compromise the consistency of the prudential framework and potentially jeopardise financial stability.
• Alternative Measures: The EBA suggests that other regulatory measures could be more effective in supporting SME financing, such as:
  • Promoting venture capital and private equity.
  • Improving SME access to capital markets.
  • Encouraging consistent ratings for SMEs.
  • Enforcing late payment regulations.
  • Expanding the use of guarantees, including mutual guarantee schemes.

Conclusion

The EBA recommends caution in altering the current risk weights or thresholds for SME lending, as the potential risks to financial stability outweigh the benefits. Instead, it advocates for alternative measures that address the root causes of financial constraints for SMEs. These alternatives should be explicitly linked to the goal of improving SME access to finance and should be implemented in a way that avoids distorting the prudential framework. The EBA also highlights the need for better data collection on SME lending to enable more accurate and effective regulatory analysis.

Key Information

• Current RWs: 75% for SMEs with exposures below EUR 1 million.
• Proposed Changes:
  • Reduction of RWs by one third.
  • Increase in the threshold to EUR 5 million.
  • Introduction of a supporting factor of 0.7619 for SMEs under the Standardised Approach (SA).
• Effect on Capital Requirements:
  • For SA, a 24% reduction in capital requirements.
  • For IRB, the reduction is less significant and varies depending on the exposure.
• Data Limitations: SME data is not consistently collected across European banks, making it difficult to evaluate the effectiveness of proposed changes.
• Economic Role of SMEs:
  • SMEs provide 87.5 million jobs in the EU-27.
  • They contribute 58.4% of the total gross value added (GVA) from private businesses.
  • Access to finance is a major challenge, especially for micro and small enterprises.
• Cyclical Nature: SMEs are more cyclical than larger firms and are more vulnerable during economic downturns.
• Recommendations:
  • Use firm size rather than loan size for exposure classification.
  • Consider temporary capital relief measures instead of permanent changes.
  • Improve data collection and reporting on SMEs.
  • Explore alternative measures such as venture capital, ratings consistency, and guarantee mechanisms.