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