EBA欧洲银行-2013-07-17-BSG-Opinion-to-EBA-CP-2013-17_11页_921kb

报告摘要

Summary of EBA Banking Stakeholder Group Comments on Draft Regulatory Technical Standards on Own Funds (Part III)

Core Content

The EBA Banking Stakeholder Group (BSG) has provided detailed comments on the draft Regulatory Technical Standards (RTS) related to Own Funds under Articles 33(2), 69a(6), and 79(3) of the Capital Requirements Regulation (CRR). The BSG is concerned that the draft RTS may go beyond the EBA’s mandate and introduce operational and capital management challenges for financial institutions, particularly smaller ones.

Main Views and Key Issues

1. General Comments on the Draft RTS

Scope and Interpretation: The BSG believes the wording in Article 14a could be interpreted more broadly than intended, potentially including "any exposure" which may not align with the CRR mandate focused on "holdings" (i.e., ownership or direct control).
Exemptions Needed: It is recommended that certain entities, such as those already subject to prudential supervision under Article 49 of the CRR, and controlled but non-consolidated companies, be exempt from the scope of Article 14a.
Mixed Activity Holding Companies: The BSG urges the EBA to exclude mixed activity holding companies and mixed-activity insurance holding companies from being treated as indirect holdings, as this could lead to unnecessary capital deductions.
Defined Benefit Pension Funds: These entities are not operationally manageable under the LTA and may lead to unintended disinvestments or concentration in other sectors. The BSG supports the use of materiality thresholds to reduce the burden.
Double Deduction Risk: There is a risk of double deduction when applying the LTA and Article 33(e) to pension funds, which could have adverse effects on capital positions.

2. Synthetic Holdings and Exposure Calculation

Notional Amount vs. Delta Value: The BSG argues that using the notional amount for synthetic holdings, such as options, is not appropriate. Instead, the "delta" value should be used to reflect the actual risk exposure.
Clarification of Synthetic Holdings: The BSG recommends expanding the list of synthetic holdings to include all instruments with long or short exposure to capital instruments of financial sector entities, and to ensure consistency with MIFID definitions.
Netting and Bucketing: For equity index products, the BSG suggests using bucketing to net positions with residual maturities less than one year, and that synthetic positions should be deducted only if settled by physical delivery.

3. Indirect Holdings and Look-Through Approach (LTA)

Operational Burden: The LTA is deemed too burdensome and costly, especially for smaller institutions. It is not feasible for large institutions to apply LTA to all funds.
Structure-Based Approach: While this is an alternative, it requires information that is not readily available, such as the amount held by intermediate entities in CET1 instruments, making it impractical.
Materiality Thresholds: The BSG supports the use of materiality criteria to determine when the LTA should be applied, similar to those proposed in the previous draft RTS (Part I).

Specific Questions and Responses

Question	Summary of BSG Response
Q01: Is Article 14a sufficiently clear?	The BSG is concerned that the definition of "holding" in Article 14a may be too broad. It recommends clarifying that investments in pension funds should not be considered indirect holdings unless the institution has direct control or influence over the fund.
Q02: Is there an overlap between deductions under Article 33(e) and Article 14a?	Yes, there is a potential double deduction if the order of application is not clarified. The BSG suggests a specific order to avoid this.
Q03: What is the potential impact on defined benefit pension funds?	If included, the treatment could lead to changes in investment policies, increasing risk for pensioners.
Q04: Are the examples of synthetic holdings sufficient?	The BSG suggests expanding the list to include all instruments with exposure to financial sector capital instruments and recommends using delta value for options.
Q05: Is the use of notional amount appropriate for synthetic holdings?	No. The BSG argues that notional amount leads to disproportionate deductions and inconsistent risk management. Delta value should be used instead.
Q06: Are the provisions on serial or parallel holdings clear?	The BSG believes the calculation of tranches is unclear and recommends an example for better understanding.
Q07: Are the provisions on the structure-based approach clear?	No additions are made beyond the general comments.
Q08: Are the provisions on Article 24b clear?	No specific comments are provided.
Q09: What is the best way to ensure the benchmark rate is not affected by individual institutions?	The BSG supports the use of a minimum number of contributors or market representativeness.
Q10: What is the minimum number of contributors?	The BSG questions the sufficiency of 60% and suggests further clarification on how to ensure market representativeness.
Q11: How to treat minority interests from subsidiaries under Article 8?	The BSG supports recognizing minority interests when the subsidiary is subject to prudential requirements equivalent to those of sub-consolidation.
Q12: How to treat minority interests from non-supervised subsidiaries?	The BSG suggests that if the subsidiary is not supervised, the calculation should be based on the immediate higher regulated parent entity, and Article 84 should be interpreted to reflect higher local requirements.

Key Recommendations

Clarify the definition of "holding" to exclude non-direct investments and ensure alignment with Basel III.
Provide exemptions for entities already under prudential supervision and controlled but non-consolidated companies.
Exclude mixed activity holding companies from indirect holdings to avoid excessive capital deductions.
Use delta value for synthetic holdings, particularly options, to ensure risk-sensitive and economically sound exposure calculations.
Introduce materiality thresholds to reduce the operational burden of the LTA.
Clarify the treatment of defined benefit pension funds and ensure that they are not subject to double deductions.
Apply the LTA only to banking-book exposures and not to trading-book positions.
Use bucketing for equity index products and ensure that synthetic positions are only deducted if settled by physical delivery.
Clarify the application of Article 84 to ensure local prudential requirements are considered if they are higher than consolidated ones.

Conclusion

The BSG emphasizes the need for clarity, consistency, and operational feasibility in the proposed RTS. They advocate for a risk-sensitive approach, the exclusion of certain entities from the scope, and the use of delta value for synthetic exposures. The group also highlights the importance of avoiding double deductions and ensuring that the treatment of pension funds and minority interests is aligned with the CRR's prudential objectives.

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