EBA Q&A 2019_4517 states in the context of banking book FSE short positions that any FSE netting according to Art. 45 CRR constitutes an additional credit risk exposure to the counterparty of the short position. The exposure value of this additional credit risk position is determined by the full amount of the long FSE position that is no longer deducted from regulatory capital due to the netting with the short FSE position.

Reconfirmation is sought that this guidance is applicable only in the context of banking book FSE positions.

The CRR and the associated Delegated Regulation 2015/923 prescribe specific rules for trading book and banking book FSE positions. In particular, different rules apply for the determination of the regulatory assessment basis of FSE positions in the trading book and the banking book. For example, Art. 15f of Delegated Regulation 2015/923 introduces the delta equivalent as the assessment basis for options in the trading book, whereas for banking book options a different assessment basis is used such as the market value for call options. Because of the different treatment of trading book and banking book FSE positions, it is understood that EBA Q&A 2019_4517 was intentionally limited to banking book FSE positions.

If the EBA would consider that an additional credit risk position should also be recognised for trading book FSE positions, an impact assessment would be needed, in order to understand the additional capital requirements for European banks and the impact on market liquidity of FSE equity positions and indices including FSE equity positions before a decision would be taken.