Question ID
2021_6190
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Credit risk
Article
271
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
n.a.
Type of submitter
Credit institution
Subject matter
Classification of derivatives on precious metals without physical underlying under SA-CCR
Question

For Credit Risk calculation and in order to classify derivatives into the proper Risk Category (Commodity vs. FX Risk) under SA-CCR.

Can you please advise on the category to use when derivatives on Gold do not have physical underlying ?

Example with a Gold Option for which only the currency for Gold is used (XAU) and where Gold is physically not existing.

Also, can you please advise if the same logic have to be applied for other precious metals (not physical) like Silver or Palladium ?

Background on the question

Article 274 (2) EU regulation 575/2013 indicates the different possible classification below for derivatives contracts :

- FX and GOLD

- Other precious metals

- Other commodities than precious metals

Article 357 (2) EU regulation 575/2013 confirmed that Gold Options should be treated as "FX Risk".

Article 325as EU regulation 2019/876 indicate that precious metals (including gold) should be classified as ''Commodity Risk'' 

Submission date
Rejected publishing date
Rationale for rejection

The question has been rejected because the legal basis it refers to has been amended / revised.

The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.

For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.

Status
Rejected question