20 August 2015

ESMA（欧州証券市場機構）、PRIIPS（リテール向け及び保険ベースのパッケージ型投資金融商品）のKID（重要情報書類）に関する規則をめぐるディスカッション・ペーパーへのコメントを公表

AFG

AFG has a strong preference for a distribution of returns directly obtained from historical data, which appears to be the most common sense option with regards to the objectives of implementing PRIIPS within a retail orientated framework. In this context, Q2 is not relevant to them.

Regarding modelling choices (if regrettably such an approach is to be imposed), AFG members believe that the option of leaving the choice to the manufacturer for the determination of parameters should not be considered as it leaves tremendous room for manipulation and dampens comparability. As regulators would need to be able to supervise and update (not too frequently) the models they prescribe, AFG presumes the methods of choosing the model parameters must not be too complex.

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European Banking Federation

While the Technical Discussion Paper explores how best to ensure comparability between individual products with similar risk-reward characteristics, the Joint Committee should be aware of the important consequences for the provision by investment firms of portfolio solutions/strategies which involve the combination of multiple products. In such cases investment firms will be presenting clients with tailored strategies whose risk-reward characteristics may appear confusing to retail clients when considered alongside the individual product KIDs. This may be particularly challenging when the strategy combines products sourced from several different manufacturers each of whom may present risk-reward data that could be materially different from the investment firm’s own modelling.

It should be clarified which products are included within the scope of the PRIIPs Regulation. Derivatives products based on an OTC bilateral contract, used by the retail clients to hedge their exposure should be outside of the scope of the Regulation when they represent  agreements between the counterparties to exchange predetermined cash flows. Derivatives (whether listed or not) should be outside the scope. Products based on an interest rate exchange, such as an interest rate swap (IRS), a forward rate agreement (FRA) , an option (Cap, Floor, Swaption etc.) should be out of scope.

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EIOPA Insurance & Reinsurance Stakeholder Group

Quantitative credit risk measures like credit spreads, CDS spreads or credit value at risk or qualitative credit risk measures like credit ratings cannot be used to assess the credit risk of many PRIIPs products. Many PRIIPs products´ manufacturers (e.g. life insurance undertakings) are not quoted or listed or don´t have a credit rating issued by a credit rating agency. It should also be reminded that there are several EU initiatives in progress to reduce the overreliance on credit ratings issued by credit rating agencies.

Prudential supervision should not only be a mitigating factor but rather should be one of the more relevant measures for many PRIIPs products. A clear distinction should be made between entities subject to prudential supervision (e.g. credit entities, insurance undertakings) and other entities.

Insolvency guarantee schemes should be taken into account when assessing the credit risk.

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European Private Equity and Venture Capital Association

The timeframe used in the risk indicator and performance scenarios should be option c – the recommended holding period with a warning or narrative text that explains the possible variation in risk over time. Private equity funds do not offer redemption rights so showing the risk indicator or performance scenarios at different time horizons would not be appropriate. The underlying investments in private equity funds are made at different points in time over an investment period (usually the first five years) and returns typically follow a “J-curve” (loss in the first few years, followed by a return only close to the end of the fund lifetime). 

Institutional investors use a variety of models based on cash flow forecasts to assess the risks of their private equity investments. The cash flow projections make assumptions about the levels of draw-downs and distributions over the lifetime of an average fund as observed historically, and apply this to the funds invested in to come up with an aggregate for the portfolio.

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International Capital Market Association

ICMA warns that vanilla bonds seem outside the scope of PRIIPs given its ‘packaged’ nature (at least for now), and so the vanilla markets have not really been engaged. There has however been some previous confusing official messaging in this respect, and references to “subordination” and to “perpetual” intruments in this DP seem to be following along those lines.

Corporate issuers of vanilla bonds will find it very difficult to comply with the PRIIPS regime because of the broad scope of the required disclosure (particularly relating to credit risk), the limited space to comply with that requirement in the KID and the liability that will result from failure to comply (see further below). (In addition, the on-going requirement to update the KID as changes occur during the life of the issue is a significant increased burden for corporate issuers that most will be unwilling to accept.) Therefore it is important, if retail corporate bond markets are to be preserved or increased in size (in line with the Commission’s Capital Market Union initiative), that the scope of PRIIPs is clearly defined so as to exclude vanilla bonds.

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