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
-
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.

Submission date
Final publishing date
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.

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.