Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Liquidity risk
Article 428af
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Not applicable
Disclose name of institution / entity:
Type of submitter:
Subject Matter:
Collateralized loans below 35% Risk Weight

Could you please clarify whether in case of collateralized loans (collateralized credit claims) the applicable risk weight (based on the CRR standardised approach) used for classifying certain assets in NSFR refers to the risk weight after credit risk mitigation (i.e. considering the collateral) of the loan?

Background on the question:

For the purpose of NSFR, only the Standardised Approach risk weights may be used to determine the NSFR treatment.
According to Article 428af (b), unencumbered loans with a residual maturity of one year or more, excluding loans to financial customers and loans referred to in Articles 428r to 428ad, provided that those loans are assigned a risk weight of 35 % or less in accordance with Chapter 2 of Title II of Part Three, shall be subject to a 65 % required stable funding factor. If a credit claim to a corporate client (individually, 50% risk weight) is collateralized in full by securities issued by 0% risk weight issuers, is it classified under or above 35% risk weight in the context of NSFR?

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because it is considered that EBA guidance or clarification is not needed with regard to the issue that it raises. For example, this can be the case where it is considered that the existing regulatory framework is sufficiently clear and unambiguous, or where different practices may be possible but it is not currently necessary to harmonise these further through the Q&A process.

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Rejected question