- Question ID
-
2014_1413
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Credit risk
- Article
-
195, 219
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
n/a
- Type of submitter
-
Credit institution
- Subject matter
-
Balance Sheet Netting as a CRM technique
- Question
-
Is Balance Sheet Netting according to Article 195 limited to Cash Balances in the same currency?
- Background on the question
-
Article 195 CRR recognises on-balance sheet netting as an eligible form of credit risk mitigation, if a valid netting agreement exists (requirements of Article 205 are met).
However, Article 219 which shows the calculation of on-balance sheet netting effects is limited to positions denominated in the same currency. There is no mentioning of how netting should be applied, if currencies do not match. Our assumption is, that in case the currencies do not match, the institution has to apply a haircut for the involved FX-Risk.
On the other hand, Article 219 could be read as if on-balance sheet netting is limited to balances in the same currency. In the latter case this would be contrary to Article 195 which per se sees on-balance sheet netting as a valid CRM-technique.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.
If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.
For further information please refer to the press release and the updated Q&A page.
- Status
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Rejected question