Stellungnahme BdB zu "Alternatives to external credit rating for calculating capital requirements in the banking book"

15. Dezember 2011

As part of the Basel II reform debate, various parties (US government and US regulators, Basel Committee, European Commission) are looking for alternatives to the use of external credit ratings for internal and regulatory purposes. The aim is to reduce the excessive overreliance placed by investors in external credit ratings in some cases in the past. According to the FSB (on 4 November 2011), work in this connection is still at an early stage. This paper therefore deals with potential alternatives to the use of external credit ratings for regulatory purposes, i.e. to calculate capital requirements.

The basis for assessment must be whether the alternatives discussed are capable of completely replacing external credit ratings. It therefore makes sense to look at the function of external credit ratings from the perspective of the credit rating agencies (CRAs), e.g. Standard & Poor’s: “Credit ratings are forwardlooking opinions about credit risk. Standard & Poor’s credit ratings express the agency’s opinion about the ability and willingness of an issuer, such as a corporation or state or city government, to meet its financial obligations in full and on time.”

A distinction should be made between ratings of plain vanilla straight bonds (referred to hereinafter as “straight bonds”) and of structured bonds, particularly of securitisation instruments (referred to hereinafter as “structured bonds”). Covered bonds are not taken into account. […]

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