EBA欧洲银行-LE_annex4_7页_88kb

报告摘要

Summary of CEBS Questionnaire on Large Exposures (LE)

Core Content

This questionnaire is designed to gather information from CEBS (Committee of European Banking Supervisors) members and observers regarding the application, definition, and regulatory framework of Large Exposures (LE) under the Capital Requirements Directive (CRD) and related regulations. The focus areas include the definition of LE, its scope, administrative procedures, reporting requirements, limits, and specific treatment for certain exposures.

Main Topics and Key Questions

1. Definition of 'Large Exposures'

General Definition:
- Article 106 defines 'exposures' as assets or off-balance-sheet items without risk weighting.
- Article 108 defines a 'large exposure' as an exposure equal to or exceeding 10% of own funds.
- Article 4(45) provides the definition of 'connected clients'.
Key Questions:
1. What is your definition of 'exposures'?
2. What is your definition of 'exposure value'?
3. What elements are entirely covered by own funds and excluded from exposures? How are these treated?
4. What is your definition of 'large exposure'?
5. What is your definition of 'connected clients'?
6. How are 'connections' identified – legally and/or economically? What information is used to verify these connections?

2. Scope of Application of LE

Applicable Articles:
- Art 68(1), 71(1) and (2), 73(2) define the scope.
- Art 69(1) and (2a) allow waivers under certain conditions.
- Art 118 requires measures for risk allocation within groups if LE rules are disapproved.
- Art 107 defines 'credit institution' under the LE regime.
- Art 3(2) allows exemption for institutions under central supervision.
Key Questions:
7. Do you apply Art 69(1) and (2a)?
8. What measures are taken to ensure risk allocation within the group?
9. How do you verify these measures?
10. Which types of institutions are subject to LE requirements under Art 107?
11. Is Art 3(2) exercised in your jurisdiction? If so, how?

3. Administrative and Accounting Procedures

Art 109 requires credit institutions to have sound administrative and accounting procedures and internal control mechanisms to identify and monitor large exposures.
Key Questions:
12. How do you apply Art 109? Are there more detailed requirements?
13. How do you evaluate the procedures and internal control mechanisms? (e.g., on-site inspections, desk-based approach)

4. Reporting of Large Exposures

Reporting Frequency:
- Art 110(1) allows two reporting options: annual or quarterly.
- Art 110(2) allows exemptions or reduced reporting frequency for certain exposures.
- Art 110(3) allows analysis of exposures to collateral issuers and reporting of significant findings.
Key Questions:
14. What is the exact frequency of reporting?
15. Is the same frequency applied on an individual and consolidated basis?
16. Are there different reporting thresholds?
17. Do you perform ad hoc on-site examinations?
18. Do you exempt certain exposures from reporting? Under what grounds?
19. Do you reduce reporting frequency for certain exposures? Under what conditions?
20. How do you transpose Art 110(3)?
21. Should the LE regime also capture and limit sectoral concentrations?

5. Limits on Large Exposures

a. Application of Limits

Art 111 sets three limits:
- 25% for a single exposure
- 20% for intra-group exposures
- 800% for total LE
Art 113(1) allows Member States to impose more stringent limits.
Art 113(2) allows exemption for exposures to parent, subsidiaries, or other entities under consolidated supervision.
Art 113(3) allows exemption for a list of exposures.
Art 114(1) allows use of a lower exposure value for financial collateral.
Art 114(2) allows recognition of effects of financial collateral on exposure values.
Art 114(4) allows treating covered parts of the exposure as incurred to the collateral issuer.

b. Key Questions

Do you apply the limits in Art 111(1)-(3)? How binding are they?
How many large exposures (over 10%, 15%, 20%) are reported by your top five banking groups?
What specific monitoring measures are applied for exempted intra-group exposures?
Have you used Art 111(4)? How do you handle exposures exceeding the limits?
In which cases do you impose more stringent limits than those in Art 111?
To what extent do the current limits apply to larger and smaller institutions?
Is the current limit framework satisfactory from prudential and level playing field perspectives?
Should the limits be lowered?

c. Treatment of Claims on Regional Governments and Local Authorities

Art 115(1) allows 0% or 20% risk weighting for claims on regional governments and local authorities.
Art 115(2) allows 20% or 50% risk weighting for claims on institutions based on maturity.
Art 116 allows 20% risk weighting regardless of maturity.
Key Questions:
39. Do you apply Art 115(1) for claims on regional governments and local authorities?
40. Which treatment (Art 115(2) or Art 116) do you apply for claims on institutions?

d. Third Party Guarantor

Art 117 allows Member States to treat exposures guaranteed by third parties in different ways.
Key Question:
41. How do you apply Art 117(1)?

6. Application of LE Rules to the Trading Book

Art 28 states that the LE regime for institutions under the recast Directive 93/6/EEC is the same as under Directive 2000/12/EC.
Art 30(4) allows similar treatment for assets on third-country investment firms and clearing houses.
Art 31 allows exceeding limits under certain conditions.
Art 32 requires procedures to prevent avoidance of capital requirements.
Key Questions:
42. Is the derogation under Art 28 used by institutions in your jurisdiction? How important is it?
43. Do you apply the derogation under Art 30(4)? How?
44. Have you used Art 31? What procedures do you follow?
45. How frequently do breaches of limits occur? How significant are they?
46. What procedures have you established to prevent avoidance of capital requirements?
47. Have you used Art 32(2)? Under what circumstances? How important is this use?