2013_155 Scope of application of Articles 339 and 340 of Regulation (EU) No 575/2013 (CRR)

Question ID:

2013_155

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Market risk

Article:

339, 340

Paragraph:

COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:

Not applicable

Article/Paragraph:

N/A

Disclose name of institution / entity:

Type of submitter:

Investment firm

Subject Matter:

Scope of application of Articles 339 and 340 of Regulation (EU) No 575/2013 (CRR)

Question:

Article 339 of Regulation (EU) No. 575/2013 starts with "In order to calculate own funds requirements against general risk all positions shall be weighted...". Does "all positions" also include positions in the banking book or are Articles 339 and 340 only valid for positions in the trading book?

Background on the question:

Want certainty about the scope of application of Articles 339 and 340.

Date of submission:

13/08/2013

Published as Final Q&A:

15/11/2013

Final Answer:

Articles 339 and 340 of Regulation (EU) No. 575/2013 (CRR), which specify the calculation of own funds requirements against general risk for debt instruments as part of the determination of own fund requirements for market risk, only refer to positions in debt instruments booked in the trading book.

According Article 92(3)(b) of the CRR, the notion of "position risk", used to determine the own fund requirements for positions in debt and equity instruments, is indeed applicable only to the trading book.

Status:

Final Q&A

Answer prepared by:

Answer prepared by the EBA.

Note to Q&A:

Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.