Stellungnahme DK zum EBA Discussion Paper EBA/DP/2013/03 “Technical advice to the Commission on possible treatments of unrealised gains measured at fair value under Article 80 of the Capital Requirements Regulation (CRR)”

27. September 2013
  • The basic approach of the Basel Committee on Banking Supervision, i.e. to take account of unrealised gains and losses fully in the common equity tier 1, is correct.
  • The balance sheet of an institution presents its position truly and comprehensively.
  • Asymmetrical filters only for unrealised gains would very much exaggerate risks and contradict the portfolio idea according to which value fluctuations compensate each other and risks are hedged against economically.
  • For a more conservative supervisory examination, there are a number of approaches to addressing possible risks in the form of capital requirements and pillar II regulations; "white spots" such as interest rate risks and risks of difficult marketability are addressed by the BCBS and the EBA already by proposals regarding the hedging of interest rate risks and prudent valuation.

Taking account of the actually existing risks, we believe it is reasonable to do without any filters both for fair value items through profit and loss and for fair value items through OCI.

If we continued with, or introduced, filters for fair value items through OCI, as applied today in some jurisdictions, they would have to be applied — like today — to unrealised gains and losses. However, the treatment of unrealised losses is not covered by the EBA's work assignment according to Art. 80 Para. 4 CRR.

Based on the above comments, we have answered the questionnaire provided by EBA at II. below. At I., we have explained in detail why we believe it is reasonable to keep the CRR provisions to take account of unrealised gains and losses. […]

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