Question ID
2019_4466
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Securitisation and Covered Bonds
Article
256
Paragraph
4
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Type of submitter
Credit institution
Subject matter
Applicable methodology for unfunded reserves and liquidity reserves
Question

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.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question