Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Credit risk
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Applicable methodology for unfunded reserves and liquidity reserves

How should the risk-weight of reserves for which the computation of D and A is not required be determined?

Background on the question:

Unlike for derivatives positions (new Articles 259(8), 261(3), 263(8) CRR), the modified regulation 575/2013 does not provide clear instruction for the risk-weight determination of unfunded reserves, liquidity lines or any assets that do not provide credit enhancement to the securitisation transaction and that are not loss absorbing. In particular Article 256 does not prescribe how to calculate D and A for these exposures.

Date of submission:
Published as Rejected Q&A
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.

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Rejected question