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07 September 2015

AFME(欧州金融市場協会)・ICMA(国際資本市場協会)、インフラ投資リスクの分類に関するEIOPA(欧州保険年金機構)の市中協議へコメント、投資対象インフラの定義が狭すぎると主張


Default: Change to:


According to AFME-ICMA, the proposed definition is too restrictive. It should be extended to corporates’ operating infrastructure assets provided that the cash flows or assets pertaining to the infrastructure activities are ring-fenced.


If a recalibration of the risk charges for infrastructure in the spread risk module is chosen, then a combination of EIOPA’s liquidity and credit risk approach should be considered.

- A proposal for a calibration in the counterparty default risk module should be included in EIOPA’s advice if, significantly, loans and securities receive the same calibration (in order to avoid EIOPA regulatory arbitrage between loan and bond format that currently exists in other asset classes such as securitisation), and also if the calibration takes into account at least some level of mark to market risk that assets included in the counterparty default risk module will still need to incur, even though the counterparty default risk module is intended to solely capture credit.

The advice does not distinguish between listed and unlisted infrastructure equity. The advice should include the latter in a new market risk sub-module with a risk charge of 22% and very low, preferably zero, correlation with other sub-modules.

The WG supports an adjustment of the spread risk charges based on a comparison of loss given default rates in order to more adequately reflect the risk characteristics of infrastructure debt instruments, especially lower default rates, higher recovery rates and regular cash flows.

Current capital charges as well as the charges currently proposed in EIOPA’s draft advice make infrastructure investment uneconomical. The proposed adjustment for the spread module consists in adjusting the capital charge by the ratio of the loss-given default for infrastructure debt to the loss-given default for corporate bonds.

Full response



© AFME


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