14 April 2014

AFME（欧州金融市場協会）、IAS第19号（従業員給付）改正による自己資本のボラティリティへの影響に関するディスカッション・ペーパーへのコメントを公表

AFME suggests that the scope of the report is widened to consider the risk exposures that Defined Benefit Pension schemes represent to institutions and ensuring that CET1 capital impact reflects the risk exposure. The funding of Defined Benefit Pension schemes is a long term risk to institutions, and employees cannot accelerate receipt of benefits. However under CRD IV significant short term volatility to CET1 capital is likely to be experienced by an institution – this may require short‐term capital raising actions in response to adverse temporary movements in Defined Benefit Pension deficits, which are not reflective of the actual levels of risk to which the Institution is exposed.

According to AFME, the discussion paper seems to assume the absence of RWA being applied to pension assets. Whether to risk‐weight pension assets is not addressed by CRR or similar pieces of regulation, but certain local regulators requires risk‐weighting of pension assets. This unequal treatment does not only prevent a level playing field. Any risk‐weighting of pension assets creates further volatility on the capital ratio and defines a natural dilemma – as any measures to match assets to the liability movements usually create RWA and hence lower the capital ratio.

To conclude, AFME believes that that the CRD IV treatment of Defined Benefit Pension schemes can lead to undue volatility in the level of CET1 capital to Institutions, causing adverse impacts to Institution’s capital planning and introducing another source of pro‐cyclicality to Institutions’ capital positions. With smoothing taken out of IAS19, there is an argument for reintroducing smoothing mechanisms when assessing the CET1 adjustment for pensions. EBA and European Commission should consider such mechanisms to reduce the short term volatility to institutions' CET1 capital that the CRD IV rules, in their current form, introduce.

Full response

© AFME