2015年-EBA欧洲银行管理局_EBA_Report_on_the_Additional_Tier_1_instruments_May_2015_12页_266kb

EBA Final Report Summary: Monitoring of AT1 Instruments in EU Institutions

Core Content

This EBA report, published on 29 May 2015, provides an update on the monitoring of Additional Tier 1 (AT1) capital instruments issued by EU institutions. It aims to inform external stakeholders about the EBA's ongoing work and the results of its monitoring, with a focus on ensuring compliance with the Capital Requirements Regulation (CRR) and the associated Regulatory Technical Standards (RTS). The report highlights the need for clarity and simplicity in the terms and conditions of AT1 instruments and outlines recommendations for future issuances.

Main Purpose

• To monitor the quality of AT1 instruments issued by EU institutions in line with the CRR.
• To present the findings from this monitoring and identify areas for improvement.
• To provide guidance on the interpretation of CRR provisions and to promote convergence in the treatment of AT1 instruments across the EU.

Key Information

Regulatory Framework

• The CRR (Articles 51–55) and the Commission Delegated Regulation (EU) No 241/2014 (RTS) establish the eligibility criteria for AT1 instruments.
• The EBA has been reviewing the implementation of these criteria and has identified certain provisions that may need revision or avoidance in future AT1 issuances.

Monitoring Scope

• The EBA has reviewed 15 AT1 issuances, totaling EUR 21.4 billion, issued between August 2013 and November 2014.
• Five of these issuances used a conversion mechanism, and ten used a temporary write-down mechanism.
• The monitoring is still in its preliminary stage and will require further iterations based on future issuances.

Key Findings and Recommendations

• Regulatory Calls: Only full regulatory calls are acceptable; partial calls based on write-down or conversion are not eligible triggers. Tax calls may be acceptable if they result from a material effect on tax treatment.
• Write-Down or Conversion: The EBA recommends that the one-cent floor for write-downs should not be included in AT1 capital, as it may prevent full loss absorption. If used, the floor should not be included in CET1 capital.
• Redemption Clauses: The EBA suggests that redemption notices should be revoked if issued after a trigger event notice.
• Tax Gross-Up Clauses: These should be activated by the local tax authority, not the investor, and should not exceed distributable items. They should only apply to dividend/coupon withholding tax.
• Pre-emption Rights: Share conversion clauses that allow shareholders to purchase shares from conversion are acceptable, as they do not affect the loss absorption of AT1 instruments.
• Contingent Clauses: The EBA advises against the use of contingent clauses, such as those requiring mandatory interest payments if AT1 status is lost, due to prudential concerns and the risk of increasing complexity. These clauses may also undermine the simplicity of AT1 instruments.
• Trigger Levels: Triggers for loss absorption should be based on CET1 at the relevant level of supervision (solo, sub-consolidated, or consolidated). For institutions controlled by a holding company, triggers should be based on the consolidated CET1 of the parent company.
• Double Triggers: When multiple triggers are present, the available amount for write-up should be the lower of the profit calculated at different levels (solo or consolidated).
• Third Country Issuances: AT1 instruments issued by subsidiaries in third countries must comply with the CRR and RTS to be eligible at the group level, even if they are Basel III compliant in the local jurisdiction.

Structure of the Report

The report is divided into several sections:

1. EBA's Considerations: Summary of the main conclusions and recommendations.
2. Detailed Analysis: In-depth examination of specific clauses and their implications.
   • Calls: Clarification on regulatory and tax calls.
   • Redemptions: Conditions for redemption and their implications.
   • Tax Gross-Up Clauses: Guidance on their use and limitations.
   • Write-Down or Conversion: Evaluation of one-cent floors and alternative methods for loss absorption.
   • Pre-emption Rights: Acceptability of share conversion clauses for shareholders.
   • Formal Issues: Recommendations on clarity and wording of prudential provisions.
   • Contingent Clauses: Analysis of potential benefits and prudential risks.
   • Triggers for Instruments: Clarification on the basis of triggers for loss absorption.
   • Group/Solo Triggers: Specific considerations for third country subsidiaries.
   • Loss Absorption with Different Triggers: Guidance on how losses should be distributed among instruments with different trigger levels.

Conclusion

The EBA emphasizes the importance of maintaining simplicity and clarity in AT1 instruments to ensure their effectiveness in absorbing losses and meeting regulatory requirements. While some provisions may be acceptable, others are recommended to be revised or avoided. The EBA also highlights the need for a common interpretation of the CRR to support consistent application across EU institutions and to promote convergence in the treatment of AT1 instruments.