2019_4441 To which exposure class the fair value changes of the hedged items in portfolio hedge of interest rate risk should be assigned

Question ID:

2019_4441

Legal Act:

Regulation (EU) No 575/2013 (CRR)

Topic:

Credit risk

Article:

112

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

Not applicable

Article/Paragraph:

N/A

Disclose name of institution / entity:

Type of submitter:

Credit institution

Subject Matter:

To which exposure class the fair value changes of the hedged items in portfolio hedge of interest rate risk should be assigned

Question:

To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) have to be assigned. The recorded exposure relates to a bottom layer macro fair value hedge of mortgage loans. Due to the application of the bottom layer macro fair value hedge approach there is no individual allocation of the exposure value of the hedged item to the individual mortgage loans. Should this exposure be treated as an 'exposure secured by mortgages on immovable property' or as 'other items', and subsequently, which risk weight should be applied to this exposure.

Background on the question:

The 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) is an accounting correction to the hedged item recorded for a bottom layer macro fair value hedge. The exposure is therefore related to the mortgage loan exposures which are allocated to 'exposure secured by mortgages on immovable property', but can not be individually assigned to the individual mortgage loans. Therefore it is unclear to which exposure class it has to be assigned and which risk weight has to be applied. Can the EBA please provide guidance in this matter?

Date of submission:

03/01/2019

Published as Rejected Q&A

11/02/2022

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.

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Status:

Rejected question