- Question ID
-
2018_4437
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
306
- Paragraph
-
1
- Subparagraph
-
b
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
Not applicable
- Type of submitter
-
Credit institution
- Subject matter
-
SA or IRB treatment of CCPs for AIRB banks
- Question
-
Does article 306(1)(b) of the CRR imply (or not) that trade exposure and default fund contributions to non-qualifying CCPs should be considered as exposures designated to the SA even in case an IRB authorization exists?
- Background on the question
-
The question arises, because article 107(1) of the CRR implies that CCP exposures are either designated to the Standardised Approach (SA - Chapter 2) or the Internal Ratings Based Approach (IRB - Chapter 3) for credit risk. The first full sentence of article 107(2) of the CRR states that exposures which are trade exposures and default fund contributions to a CCP are treated under Chapter 6 Section 9 (i.e. CRR.300 - CRR.311). Chapter 6 Section 9, is not part of either SA (Chapter 2) or the IRB (Chapter 4), and there is no cross reference from either Chapter 2 or 3 to Chapter 6 Section 9. We note that according to article 306(1)(b) of the CRR, trade exposure to non-qualifying CCP's (non-Q CCP's) are to be treated under the SA, which may indicate a unconditionally imposed SA treatment), even in case the back uses the IRB approach. Hence, we are in doubt whether to consider this type of exposure under the SA or the IRB approach. This may relevant if there would be relevant if we were to apply credit risk mitigation, but also for governance purposes (e.g. use test and governance). Please note that the exact phrasing of CRR.108 with reference to Chapter 2 and Chapter 3, but not to Chapter 6, may be taken to mean that CRM is not permitted for exposures treated under Chapter 6, if these are not considered to be entering the SA or IRB method first.
- Submission date
- Rejected publishing date
-
- 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.
For further information please refer to the press release and the updated Q&A page.
- Status
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Rejected question