Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Credit risk
2, 4
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
EBA/GL/2017/16 - Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
Disclose name of institution / entity:
Name of institution / submitter:
Frankfurter Sparkasse
Country of incorporation / residence:
Germany / Frankfurt am Main
Type of submitter:
Credit institution
Subject Matter:
EBA/GL/2017/16 Interpretation

Conformity of the  implementation pursuant to Article 152 CRR to EBA/GL/2017/16

Background on the question:

A credit institution calculates risk weighted assets (RWA) for special funds in accordance with the transparency approach pursuant to Article 152(2) of Regulation (EU) No 575/2013 (CRR) combined with Article 152(4).


Specifically, Articles 142 and 152 CRR enable an institution operating under IRBA rules to measure the RWAs of its special funds in line with the described  transparency method provided that it meets the regulatory requirements of Articles 152(1). Therefore, by definition, the approval process for exposures in special funds (German Spezialfonds) differs from that of loans. 

It is unclear whether the investment process is in line with  with the requirements of Section 13 EBA/GL2017/16. 


The implementation of the transparency approach pursuant to CRR is the following is the following: the credit institution’s own special funds are managed by a fund manager in accordance with investment guidelines. These investment guidelines are consistent with the applicable sub-risk strategy for counterparty risks and have been approved by the Management Board. Based on the stringent requirements of the investment guidelines, which meet rating requirements, granularity, country exposure limits, duration etc., the investment decisions are made following in-depth credit analysis by the fund management team. Should any securities in the special fund no longer meet the requirements of the investment guidelines, these positions must be sold.    

Exposures in the credit institution’s special fund (UCITS), to which the IRB approach is applied, are subject to the look-through principle in accordance with Article 152(2) CRR. According to this principle, the credit institution calculates the RWAs of the UCITS by applying the look-through principle to each individual position and assigning a risk weight to all of the UCITS’ risk positions as if they were held directly by the credit institution.      

For the overwhelming majority of the individual risk positions associated with the UCITS, the risk-weighted positions are calculated using the IRB approach. The standardised approach is only used for exposures to entities within the a Joint Liability Scheme and as well as to central governments.       


From the credit institution 's perspective, the risk positions are appropriately managed and, as far as possible, receive an internal rating in line with CRR. This approach is implemented on the basis of predefined investment guidelines, which are in line with the sub-risk strategy for counterparty risks. Therefore, the investments are subject to a de facto, in our opinion appropriate scaled-down, credit approval process. In contrast to loans, securities in the special fund are liquid and can generally be sold at short notice.

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

This question has been rejected because the question is not sufficiently clear or has not sufficiently identified a provision of a legal framework covered by this tool that creates uncertainty and for which an explanation is merited in terms or practical implementation or application.

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.

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Rejected question