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Through its Regulatory Consistency Assessment Programme (RCAP), the Basel Committee (Committee) monitors the timely adoption of Basel III regulations by its members, assesses their consistency with the Basel framework and analyses the quality of regulatory outcomes. The RCAP is fundamental to raising the resilience of the global banking system, maintaining market confidence in regulatory ratios, and in providing a level playing field for internationally active banks.
A number of external studies have raised concerns about whether the implementation of the Basel II framework with regard to the internal ratings-based (IRB) approach to credit risk might be uneven. These studies highlight widespread differences in banks’ average risk weights. Although there is broad agreement that the observed variations are driven by a mix of differences in underlying risk and differences in banking and supervisory practices, the relative focus on different drivers varies across these studies. These studies also conclude that investigating differences in risk-weighted assets (RWAs) is difficult due to a lack of appropriate and consistent data.
This report presents the findings of the Committee’s initial analysis of RWA outcomes for banks that have adopted the IRB approach for credit risk in the banking book. It complements the preliminary findings for RWAs in the trading book published by the Committee in January 2013 and the on-going work on RWAs for operational risk.
Collectively, these findings on RWA variations will inform other work streams of the Committee including how to increase the robustness of the risk-based capital framework and the fundamental review of prudential requirements for the trading book.
The objective of this analysis was to evaluate drivers of material differences in banking book RWAs calculated using IRB approaches. The analysis addresses the level and variation of risk weights in the banking book at various levels of aggregation, and identifies some of the primary drivers of the variation. The analysis was based on: (i) top-down RWA analysis, with a focus on analysing RWA differences using supervisory data at the country, bank and portfolio levels; and (ii) bottom-up portfolio benchmarking based on a hypothetical portfolio exercise (HPE) comprising a subset of common wholesale obligors to identify practice-based differences in banks’ IRB risk parameters. The analysis was overlaid by an assessment of differences in bank and regulatory practices and a list of potentially important practice-based drivers of RWA differences was developed and reviewed.
The study did not attempt to identify an appropriate or acceptable level of variation of RWA in the banking book and its findings are sensitive to a number of assumptions. Therefore, the suggestions for policy options are not comprehensive nor do they pre-empt any specific policy measure the Committee could take in the future. Rather, the suggested options serve as a potential direction for future work to be considered by the Committee.
The analysis covered more than 100 major banks around the world based on supervisory data collected by the Committee’s Capital Monitoring Group (CMG), as well as data from 32 large international banking groups from 13 jurisdictions for low-default-type wholesale exposures under a HPE. Use of these sources of data available to supervisors addressed to some extent one of the key issues in previous studies, namely a lack of comprehensive and appropriate publicly available data. Onsite visits were made to 12 banks that had participated in the HPE to verify the robustness of the off-site analysis and to gain a better understanding of the drivers of observed cross-bank deviations. The study also used surveys to consider differences in the practices of national supervisory authorities, including areas of national discretion permitted in the Basel framework, and differences in the internal estimation practices of banks.
Section 2 reviews the findings and methods of existing analyses of RWA differences. Sections 3 and 4 set out the structure and findings of the top-down RWA analysis and bottom-up HPE. Section 5 describes the work done to assess differences in bank and regulatory practices. Section 6 briefly describes the structure and findings of the on-site visits. The Annexes provide additional detail on the data used in the top-down analysis, as well as a list of some of the many studies conducted by others.