Question ID
2021_6273
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
325x
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/453 - ITS with regard to the specific reporting requirements for market risk
Article/Paragraph
325
Type of submitter
Credit institution
Subject matter
Jump-to-default risk weights in specific reporting requirements for market risk
Question

Which risk weights should be used in the case of multiple exposures in different seniority classes and credit quality steps to the same obligor?

Background on the question

According to Article 325x(1) CRR, institutions shall calculate net JTD (jump-to-default) amounts by offsetting the gross JTD amounts of short exposures and long exposures and offsetting shall only be possible between exposures to the same obligor where the short exposures have the same seniority as, or lower seniority than, the long exposures.

 

However, it is possible that the same obligor has exposures in multiple seniority classes and which also have different credit quality steps. In that case, it is unclear which risk weight should be used.

Submission date
Rejected publishing date
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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Status
Rejected question