EBA欧洲银行-Guidelines-on-Large-Exposures_Feedback-Document_24页_296kb

报告摘要

Summary of Feedback Document to the CP26 on Large Exposures

Introduction

On 12 June 2009, the Committee of European Banking Supervisors (CEBS) submitted draft implementation guidelines for public consultation regarding the revised large exposures regime. These guidelines addressed three main areas: the definition of 'connected clients', the calculation of exposure values for schemes with exposure to underlying assets, and reporting requirements. The consultation period ended on 11 September 2009, during which seventeen responses were received, with sixteen being public. This document summarizes the key points from the consultation and outlines the changes CEBS made in response to the feedback.

General Comments

Clarity and Detail: Several respondents found the draft guidelines too detailed, which could increase administrative burdens. CEBS emphasized that the guidelines must be sufficiently detailed to ensure a harmonized implementation of the Capital Requirement Directive (CRD').
Exemptions for Short-Term Exposures: CEBS noted that guidelines on exemptions for short-term exposures arising from money transmission under Article 106(2), (c), and (d) of the amended Directive 2006/48/EC are being developed and will be published in 2010.

Connected Clients

Common Source of Funding: Some respondents were concerned that the proposed interpretation of connection based on a common main source of funding was unclear. CEBS revised this section to clarify the conditions under which such a source would lead to the requirement to connect clients.
Threshold for Intensive Analysis: Most respondents supported increasing the threshold for intensive connected client analysis from 1% to between 3% and 5%. CEBS agreed to raise the threshold to 2%, aiming to reduce institutional burden while maintaining prudential safeguards.
Confidentiality Issues: Some respondents mentioned confidentiality issues in accessing client information. CEBS clarified that the assessment of interconnectedness should be done on a 'best efforts' basis.

Calculation of Exposure Values for Schemes with Underlying Assets

Unknown Exposures: Respondents found the treatment of unknown exposures too conservative. CEBS introduced a granularity threshold (largest exposure <5% of total scheme) to exempt sufficiently granular schemes from the unknown exposure treatment.
Structure-Based Approach: The Mandate-based Approach was replaced with the Structure-based Approach, providing greater flexibility. A grandfathering treatment was also introduced until 2015.

Reporting Requirements

Implementation Date: The revised large exposures regime, including Article 110 of Directive 2006/48/EC, will apply from 31 December 2010. The uniform and binding reporting (COREP) will be applied from 31 December 2012, creating a two-year transition period.
National Reporting: CEBS recommended that national supervisors incorporate the large exposures reporting into their systems during the transition period. It also noted that the new reporting will eventually align with COREP standards, including frequency, format, and platform.

Feedback Table Summary

Question	Summary of Comments	CEBS's Response	Amendments to Guidelines
Question 1	Concerns over clarity and burden; requests for exemption for private equity, clarification on control, and example for joint ventures	Acknowledges burden but emphasizes the need for analysis; clarifies control relationship and provides example	N/R; Paragraph 32
Question 2	Concerns over grouping of state-owned companies and government entities	Clarifies exemption applies only to governments with 0% risk weight; government-owned entities are included in connected client groups	Paragraph 37
Question 3	Issues with subjective assessment, one-way dependencies, retail exposures, repayment difficulties, and best efforts basis	Introduces 2% threshold for intensive analysis; clarifies definitions and provides further clarity	Paragraphs 38–60
Question 4	Unclear treatment of common funding sources; concerns about confusion with sectoral/liquidity risk	Clarifies the need for synchronic risk; revises section for better guidance	Paragraphs 38–52
Question 5	Concerns over 1% threshold; suggestions for absolute threshold	Increases threshold to 2%; no absolute threshold proposed	Paragraph 54
Question 6	Concerns over costs and transition period	Guidelines to be applied from 31 December 2010; flexibility recommended	Paragraph 18
Question 7	No need for further guidance on Article 4(45); concerns over 'common source of funding'	Clarifies that only internal funding sources are considered	Paragraphs 45–52
Question 8	Concerns over burden and need for grandfathering	Grandfathering for schemes acquired before 31 January 2010; increased look-through interval	Paragraph 75
Question 10	Partial look-through approach questioned	Maintains partial look-through; introduces granularity threshold	Paragraph 74
Question 11	Mandate-based approach considered unfeasible	Revised mandate approach to focus on scheme structure; limits check to exposures above 2%	Paragraph 74
Question 12	Concerns over grouping unknown exposures	Grouping unknown exposures together; no adoption of higher limits or haircuts	N/R
Question 13	Concerns over 50% haircut for mezzanine tranches	Haircuts not prescribed; acknowledges need for further investigation	Paragraph 85, Example 2

Key Points

Harmonization: CEBS aims to harmonize the implementation of the revised large exposures regime.
Threshold Adjustments: The threshold for intensive connected client analysis was increased to 2%.
Flexibility and Best Efforts: The 'best efforts' basis is emphasized for assessing interconnectedness.
Granularity Threshold: Schemes with exposures below 5% of the total scheme are exempt from certain requirements.
Transitional Period: A transitional period until 2015 is provided for schemes acquired before 31 January 2010.
Reporting: A two-year transition period for COREP reporting is outlined, with recommendations for national supervisors to incorporate the guidelines into their systems.

This summary reflects the core content, main viewpoints, and key amendments made by CEBS in response to the public consultation.

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