Submission #25

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AMAFI

Is the proposed articulation of the K-factors calculation methods, in particular between AUM and CMH and ASA, exhaustive or should any other element be considered?

AMAFI considers that the scope of the assets for the calculation should be clarified. AMAFI considers that only those assets for which the account holder is responsible for the return of the assets should be concerned in the calculation of the different ratios. Conversely, when the custodian has only a position-keeping role, the amounts should not be taken into account in the calculation. AMAFI is willing to have further discussions with the EBA on this point.

Are the requirements for notion of segregated accounts sufficient? Are there issues on segregated accounts which need to be elaborated further?

yes, AMAFI considers that the definition is clear, and fullfit what is currently th rule in France

Is there any example of situations of market stress which would not been taken into account applying the proposed approach but would be relevant for the measurement of the K-DTF?

AMAFI considers that this proposition which leads in fact to reduce the coefficient in case of market stress is quite complicated to set up. AMAFI would like EBA to consider whether it would it be possible to use the coefficient without adjustement - with a deletion of data points corresponding to days of market stress.

What would be appropriate thresholds or events that should trigger the comparison between the calculation under the K-CMG compared to the one under the K-NPR? AMAFI is not in a position to answer this question

Which other conditions should be considered to avoid double counting or to prevent regulatory arbitrage in the use of the K-CMG approach? AMAFI is not in a position to answer this question

Do you have any comment on the elements included in this Consultation Paper for the application of the aggregation method? AMAFI is not in a position to answer this question

Do you currently use the method of proportional consolidation for the consolidation of subsidiaries in accordance with Article 18(4) of Regulation (EU) No 575/2013? If proportional consolidation is used, please explain if the conditions included in this Consultation Paper are met. AMAFI is not in a position to answer this question

Do you have any comments on the conditions established in this Consultation Paper to apply proportional consolidation to investment firms groups under Regulation (EU) No 2019/2033? AMAFI is not in a position to answer this question

The methods for calculating the K-factors in a consolidated situation may allow for further specifications. Is there any K-factor for which the calculation in the context of the consolidated basis would require further specifications? What aspects should be considered? AMAFI is not in a position to answer this question

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Name of the organization AMAFI