2015_2138 Risk weight of exposures with QCCPs

Question ID:

2015_2138

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Market infrastructures

Article:

107, 305

Paragraph:

2, 1

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

Regulation (EU) No 528/2014 - RTS on non-delta risk of options in the standardised market risk approach

Article/Paragraph:

Disclose name of institution / entity:

Yes

Name of institution / submitter:

Magyar Nemzeti Bank (The Central Bank of Hungary)

Country of incorporation / residence:

Hungary

Type of submitter:

Competent authority

Subject Matter:

Risk weight of exposures with QCCPs

Question:

Is it possible to use a risk weight according to Article 107(2)(a) of Regulation (EU) No 575/2013 (CRR) for trade exposures with a clearing member, where the institution is a client of a qualifying CCP, which is acting as a general clearing member of a non-qualifying CCP?

Background on the question:

According to Article 305(1) CRR, where an institution is a client, it shall calculate the own funds requirements for its CCP-related transactions with its clearing member in accordance with Sections 1 to 8 of Chapter 6 and with Title VI of Part Three, as applicable.

According to Article 107(2) CRR, for trade exposures and for default fund contributions to a CCP, institutions shall apply the treatment set out in Chapter 6, Section 9 to calculate their risk-weighted exposure amounts for the purposes of points (a) and (f) of Article 92(3) CRR.

For all other types of exposures to a central counterparty, institutions shall treat those exposures either:

a) as exposures to an institution for qualifying CCPs; or

b) as exposures to a corporate for other types of exposures to a non-qualifying CCP.

It is not clear whether the qualifying CCP acting as a general clearing member of a non-qualifying CCP is considered to a CCP in respect of Article 107 CRR.

Date of submission:

20/07/2015

Published as Final Q&A:

06/01/2017

Final Answer:

According to Article 305(1) of Regulation (EU) No 575/2013 (CRR), an institution client of centrally cleared transactions shall calculate its own fund requirements for these CCP-related transactions according to Part III, Title II, Chapter VI, Sections 1 to 8.

Where the institution is a client of a qualifying CCP, which is acting as a general clearing member of a non-qualifying CCP, the institution shall treat contracts cleared by the NQCCP for the purpose of computing capital requirements as bilateral OTC transactions and therefore refer to Part III, Title II, Chapter VI, Sections 1 to 8, and in particular, to Article 107(2)(b) CRR.

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.