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报告摘要

ESBG Summary of Comments on CEBS Consultation Paper (CP14) on Large Exposures

1. Introduction

The European Savings Banks Group (ESBG) has provided feedback on the CEBS Consultation Paper (CP14) regarding the first part of its advice to the European Commission on large exposures (LE). ESBG acknowledges the positive step forward in redefining the LE regime but emphasizes that their final evaluation will depend on the forthcoming advice on the second part of the Commission's Call for Advice.

Core Content

Regulatory Review Process: ESBG points out weaknesses in the current review process, such as the short time frame for elaborating on complex aspects and the ongoing market analysis.
Current Framework: While the current regime has some weaknesses, it is seen as effective and well-established, especially for smaller, locally-active banks.
Flexibility and Convergence: ESBG supports a flexible supervisory approach and convergence across EU Member States to ensure a level playing field.

2. Main Views and Key Information

2.1 Prudential Objectives of a LE Regime

Agreement: ESBG agrees with CEBS' analysis of prudential objectives, particularly the idea that a LE regime acts as a backstop against unforeseen event risk.
Pillar 2 Alignment: Supports the view that concentration risk should be addressed under Pillar 2 of the CRD, as it provides incentives for better risk management.

2.2 Market Failure Analysis

Disagreement: ESBG does not agree with the analysis suggesting a material degree of market failure in unforeseen event risk. They argue that the examples provided are more indicative of bad governance than market failure.
Need for Further Work: Emphasizes the need for a thorough regulatory failure analysis, which is yet to be conducted.

2.3 Credit Quality in Large Exposure Limits

Support: ESBG supports the CEBS view that credit quality should not be generally reflected in large exposure limits.
Exceptions Considered: Believes that exceptions, such as top-class ratings of countries, local authorities, and intra-group exposures, should be considered in future frameworks.

2.4 Aggregate Limit of 800%

Support: ESBG supports keeping the 800% aggregate limit, as it provides useful guidance, particularly for smaller and less sophisticated institutions.

2.5 Principles for Risk Measurement and Management

Alignment with Pillar 2: Principles should align with those developed for Pillar 2 and consider individual circumstances.
Key Principles:
- Definition of causes of concentration risks
- Policies and procedures for managing, monitoring, mitigating, and reporting concentration risk
- Design of worst-case-scenario analysis

2.6 Off-Balance Sheet Items and Conversion Factors

Support for Alignment: ESBG welcomes efforts to align LE calculation methods with those in the CRD.
Simplification Requested: Suggests further alignment, especially between LE approval tests and IRB system reviews.
Conversion Factors: Supports the use of existing conversion factors for low and medium risk items and calls for simplification in handling structured finance and basket products.

2.7 Treatment of Structured Finance and Nth-to-Default Products

Simplification Needed: Believes that the methods used by large institutions for these products are too complex and costly.
Preferred Approach: Advocates for using the method outlined in paragraphs 212 a) and 213 and differentiating baskets based on transaction numbers.

2.8 Collective Investment Schemes and Structured Finance Transactions

Clarification Needed: Finds the suggested principles difficult to understand and implement.
Tailored Approach: Supports the idea that a one-size-fits-all approach is not suitable due to the unique characteristics of structured transactions.

3. Additional Information

3.1 About ESBG

Membership: ESBG represents savings and retail banks, comprising about one third of the European retail banking market.
Assets: Total assets of €5215 billion as of 1 January 2006.
Role: Engages in cross-border banking projects and promotes corporate social responsibility.