EBA · 2014_762 Final Q&A

Maturity used in IRB RWA calculations

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
162, para. 2
Topic
Credit risk
Submitted by
Credit institution
Submitted
2014-01-23
Answered
2015-10-23
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Is there an error in this paragraph? It currently says "....shall calculate M for each of these exposures as set out in points (a) to (e)....."; should this read "as set out in points (a) to (f)" in order to be consistent with the previous version of the legislation. Based on the current wording the effect of this is to exclude the possibility of banks using a residual maturity ".....M shall be the maximum remaining time (in years) that the obligor is permitted to take to fully discharge its contractual obligations,......"

Background

Fully explained in text of question.

Answer

All points in Article 162(2) of Regulation (EU) No 575/2013 (CRR) apply to the institutions subject to that paragraph. Otherwise letters (f) to (j) of Article 162(2) would not have any scope of application. Disclaimer: This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General for Financial Stability, Financial Services and Capital Markets Union) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.

Original source: European Banking Authority, Q&A ID 2014_762

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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