Stellungnahme DK zu EBA’s Consultation Paper “Draft Regulatory Standards on the determination of the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets under Article 379 of the proposed CRR”
In line with the present CEBS Guidelines on large exposures, a look-through may be waived if the transaction is sufficiently granular i.e. if the largest exposure amounts to less than 5% of the total transaction. In such an event, only the transaction shall be considered as a borrower. Under the EBA’s current proposals, this de minimis rule for granular transactions should be deleted without any replacement. We strongly object to the plans to abandon the granularity threshold. Instead, we would like to suggest maintaining the existing relief for granular transactions. This also applies to the derogation concerning partial granularity. The existing waivers are indispensable for banks. A lookthrough of highly diversified transactions would be linked to considerable costs without providing supervisors with any substantial decision-relevant information. Abandoning the derogation rules could lead to unwelcome market distress. This is due to the strong utilisation of the large exposures limit of the "unknown client”.
In this regard please cf. also our responses to questions 3 and 4 for a more detailed discussion.
The date scheduled for first-time application by banks of the new rules for treatment of transactions with underlying assets is as of day 20 after publication of the RTS in the Official Journal of the European Union. Hence, we assume that the effective date will be some time during the first half of next year. Transitional rules are not envisaged.
As a result, this would also call into question the “Treatment of exposures to schemes with underlying assets according to Article 106(3) of Directive 2006/48/EC“, Indent 75 of the CEBS Guidelines or, moreover, the grandfathering of rights granted thereunder (c.f. Part II). According to this, transactions which were acquired prior to 31 January 2010 shall be eligible until 31 December 2015 for treatment under the rules that were in effect prior to the enactment of the CEBS Guidelines. Also in Germany, this derogation was taken into account during the national implementation of the CEBS Guidelines. Consequently, the Guidelines were transposed and became applicable supervisory practice as far as all German banks are concerned. […]