Question ID
2022_6409
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Own funds
Article
42
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
n.a.
Name of institution / submitter
Banco Bilbao Vizcaya Argentaria, S.A.
Country of incorporation / residence
SPAIN
Type of submitter
Credit institution
Subject matter
Calculation of the amount of holdings of own Common Equity Tier 1 instruments on the basis of the net long position
Question

Could it be assumed that short positions maintained with a Qualifying Central Counterparty do not involve counterparty risk according to Article 42 a) i) CRR and thus be netted for the purposes of the calculation of the amount of holdings of own Common Equity Tier I instruments to be deducted under point (f) of Article 36(1)?

Background on the question

According to Article 42 (a) institutions may calculate the amount of holdings of own Common Equity Tier 1 instruments on the basis of the net long position provided that both the following conditions are met:

 

(i) the long and short positions are in the same underlying exposure and the short positions involve no counterparty risk;

 

(ii) either both the long and the short positions are held in the trading book or both are held in the non-trading book;

 

Consider that we have a long forward position with underlying Own Common Equity Tier I instruments and an identical short forward position with underlying Own Common Equity Tier I instruments.  The counterparty of the short forward position is a Qualifying Central Counterparty.

 

Could it be assumed that the Qualifying Central Counterparty does not involve counterparty risk and thus this position be netted for the purposes of the calculation of the amount of holdings of own Common Equity Tier I instruments to be deducted under point (f) of Article 36(1)?

Submission date
Rejected publishing date
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.

Status
Rejected question