Stellungnahme DK zum EBA Consultation Paper on “Draft Regulatory Technical Standards on Own Funds under Articles 33(2), 69a (6) and 79(3) of the draft Capital Requirements Regulation (CRR)-Part three” (EBA/CP/2013/17)
We would to mention some essential issues beforehand that require special attention in our opinion:
- Deductions for opaque positions – technique of look-through / simplification
Looking at EBA’s very wide definition of “index” (along with the limits set in RTS 2013-01 (near final draft), all indirect holdings seem to be included in that definition. For these, the structured-based approach seems to be only applicable under the precondition that a look-through is too "operationally burdensome".
The consequence, which is to treat the entire intransparent position as a 100% investment in own funds, seems to be disproportionate. This is particularly the case for pension funds, based on the fact that the trustee is usually prohibited to directly invest in instruments of the institution to protect pension beneficiaries.
We would, therefore, welcome an extended approach to the application of the structured-based approach, cf. Q03.
- Deduction of synthetic holdings
Pursuant to the FAQ of the Basel Committee (question 15) in all cases, the loss that a bank would suffer on the exposures if the capital of the financial institution is permanently written-off is subject to a deduction treatment. The "notional amount" used as basis in this consultation paper for the calculation of synthetic holdings does not do justice to this basic intention of the provisions. In particular for options, the use of the notional amount is inappropriate. By using the notional amount the economic risks would be incorrectly represented since the likelihood of exercise is neglected.
In the case of transactions that have the character of an option, the delta-equivalent should be used rather, as shown e.g. in Articles 280 and 329 CRR, cf. Q05.
- Tranche calculation
We cannot comprehend the calculation by tranches as per Art. 14c (1) b) because it does not become clear why the calculation has to be done separately for the different tranches. The degree of complexity of the calculation increases without the benefit of this becoming clear. Moreover, application of the calculation formula sometimes leads to improper results, cf. Q06 and appendix. […]