2017_3649 Credit Risk on Gold Bullion | European Banking Authority

Question ID:

2017_3649

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Credit risk

Article:

134

Paragraph:

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

Not applicable

Article/Paragraph:

Article 134 paragraph 4 of CRR

Disclose name of institution / entity:

Type of submitter:

Credit institution

Subject Matter:

Credit Risk on Gold Bullion

Question:

Under Article 134(4) CRR, what would the risk weight be if gold bullion is held on our behalf by other institutions and where such investment is not backed by gold bullion liabilities?

Background on the question:

Pursuant to Article 134(4) CRR, gold bullion held in own vaults or on an allocated basis to the extent backed by bullion liabilities shall be assigned a 0 % risk weight.

Date of submission:

27/12/2017

Published as Final Q&A:

21/12/2018

Final Answer:

In accordance with Article 134 (4) of the Regulation No 575/2013 (“CRR”), gold bullion, whether held in own vaults or on an allocated basis, is subject to a 0% risk weight only to the extent that it is backed by bullion liabilities. Where the conditions in Article 134(4) CRR for a 0% are not met, it constitutes an exposure to the entity holding the gold bullion and consequently the risk weight to be applied is that for a delivery obligation of the other entity on this gold bullion.

This answer is without prejudice to the application of market risk capital requirements for gold in accordance with Article 92(3)(c) 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.