Question ID:
2022_6367
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Credit risk
Article:
112
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Article/Paragraph:
N/A
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Exposure class for fair value changes of the hedged items in portfolio hedge of interest rate risk
Question:

To which exposure class the 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) have to be assigned?

Background on the question:

The recorded exposure relates to a bottom layer macro fair value hedge of mortgage loans. Due to the application of the bottom layer macro fair value hedge approach there is no individual allocation of the exposure value of the hedged item to the individual mortgage loans. Should this exposure be treated as an 'exposure secured by mortgages on immovable property' or as 'other items', and subsequently, which risk weight should be applied to this exposure.

The 'fair value changes of the hedged items in portfolio hedge of interest rate risk' (recorded in the IFRS consolidated financial statements in accordance with (IAS 39.89A(a); IFRS 9.6.5.8) is an accounting correction to the hedged item recorded for a bottom layer macro fair value hedge. The exposure is therefore related to the mortgage loan exposures which are allocated to 'exposure secured by mortgages on immovable property', but cannot be individually assigned to the individual mortgage loans.

Therefore it is unclear to which exposure class it has to be assigned and which risk weight has to be applied.

Date of submission:
11/02/2022
Status:
Question under review
Answer prepared by:
Answer prepared by the European Commission because it is a matter of interpretation of Union law.
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