2015年-FSB全球金融稳定委员会_Overview_of_the_post_9页_242kb

Summary of Post-Consultation Revisions to the TLAC Principles and Term Sheet (November 2015)

Core Content

The Financial Stability Board (FSB) published a revised Term Sheet on Total Loss-Absorbing Capacity (TLAC) in November 2015, following a public consultation in November 2014. The goal of the TLAC framework is to enhance the loss-absorbing and recapitalisation capacity of Global Systemically Important Banks (G-SIBs) during resolution, thereby reducing the risk of "too-big-to-fail" (TBTF) and promoting confidence in orderly resolution processes.

The final standard retains the structure of the consultation document but incorporates changes to address stakeholder concerns and ensure consistency with regulatory frameworks like Basel III. These revisions aim to clarify the calculation of TLAC, define eligible instruments, and establish a phased implementation schedule.

Main Changes and Key Points

1. Minimum External TLAC

• Calculation for MPE G-SIBs: Minimum TLAC for G-SIBs with multiple points of entry (MPE) is calculated based on the subconsolidated balance sheet, including exposures to other resolution groups.
• Deductions: Eligible TLAC instruments are deducted from the numerator, while exposures to other groups are included in the denominator.
• Flexibility: Deductions can occur at the subsidiary level, but the parent's deduction must be at least equal to its exposure to the subsidiary's TLAC, minus surplus attributable to the parent.

2. Relationship with Capital Requirements

• Buffers: Buffers are not required for the leverage ratio exposure requirement, as per Basel III. However, home authorities may impose additional national buffers.
• TLAC and Regulatory Capital: TLAC is an additional requirement to minimum regulatory capital. Instruments that meet regulatory capital standards may also count towards TLAC, subject to specific conditions.
• Phase-out: Certain regulatory capital instruments not issued directly by the resolution entity will be phased out by 31 December 2021, unless they meet specific exceptions.

3. Firm-Specific External TLAC

• Pillar 2 Removal: The reference to "Pillar 2" for external TLAC has been removed. Instead, home authorities may apply firm-specific requirements in consultation with the Crisis Management Group (CMG) and subject to the Resolvability Assessment Process (RAP).

4. Eligible Instruments and Debt Liabilities

• Long-Term Debt: The 33% long-term debt expectation remains non-mandatory, but authorities may set domestic long-term debt requirements.
• Loss Absorption Beyond TLAC: Non-TLAC instruments are still subject to loss in resolution, as per applicable resolution laws and strategies.
• Structured Notes: Excluded from TLAC due to uncertainty in their exposure to loss during resolution.

5. Priority and Subordination

• De Minimis Allowance: A de minimis exception allows up to 5% of excluded liabilities (e.g., utilities, tax liabilities) to rank pari passu with TLAC, provided certain conditions are met.
• 2.5% RWA Allowance: Liabilities that are pari passu to excluded liabilities can contribute up to 2.5% RWA to TLAC, increasing to 3.5% RWA if the Minimum TLAC requirement rises to 18% RWA.
• Exemption Restrictions: Firms using these exemptions cannot also use the de minimis allowance.

6. Redemption Restrictions

• Supervisory Approval: Required only for redemptions that would breach the minimum TLAC requirement.

7. Governing Law

• Cross-Jurisdiction Issuance: TLAC-eligible liabilities can be issued under the laws of another jurisdiction, provided resolution tools are effective and enforceable.

8. Internal TLAC and Material Sub-Groups

• Material Sub-Group Concept: Introduced to address the limitations of the "material subsidiary" definition. Each material sub-group is subject to an internal TLAC requirement.
• Calculation Basis: Internal TLAC is calculated based on the sub-consolidated balance sheet of the material sub-group.
• Host Authority Role: Host authorities determine the composition and distribution of internal TLAC, in consultation with home authorities and the CMG.

9. Calibration and Conformance Period

• G-SIBs Designated Before 2015: Must meet Minimum TLAC requirements of 16% RWA and 6% of the Basel III leverage ratio denominator by 1 January 2019, with a phase-out to 18% RWA and 6.75% by 1 January 2022.
• G-SIBs in EMEs: Initially exempt from TLAC requirements, but with a phase-out schedule. By 1 January 2025, they must meet 16% RWA/6% leverage ratio, and by 1 January 2028, 18% RWA/6.75% leverage ratio.
• Acceleration Condition: If EME corporate debt securities exceed 55% of GDP, the phase-out accelerates by three years for each requirement.

10. Public Disclosure

• Material Sub-Groups: Entities in a material sub-group must disclose liabilities that rank pari passu or junior to internal TLAC issued to the resolution entity.
• Disclosure Timeline: G-SIBs designated before 2015 must disclose and monitor TLAC positions starting from 1 January 2019. EME-based G-SIBs must begin disclosure at the start of their conformance period.

Conclusion

The revised Term Sheet on TLAC aims to ensure that G-SIBs have sufficient loss-absorbing and recapitalisation capacity during resolution, while maintaining consistency with Basel III and addressing jurisdictional concerns. It includes detailed provisions on eligible instruments, redemption rules, and a structured phase-in schedule for implementation. The FSB will continue to monitor and review technical issues through the CMG and RAP to ensure the framework remains effective and adaptable.