EBA · 2015_2138 Final Q&A

Risk weight of exposures with QCCPs

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
107, 305, para. 2, 1
Topic
Market infrastructures
Submitted by
Competent authority
Submitted
2015-07-20
Answered
2017-01-06
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Is it possible to use a risk weight according to Article 107(2)(a) of Regulation (EU) No 575/2013 (CRR) for trade exposures with a clearing member, where the institution is a client of a qualifying CCP, which is acting as a general clearing member of a non-qualifying CCP?

Background

According to Article 305(1) CRR, where an institution is a client, it shall calculate the own funds requirements for its CCP-related transactions with its clearing member in accordance with Sections 1 to 8 of Chapter 6 and with Title VI of Part Three, as applicable. According to Article 107(2) CRR, for trade exposures and for default fund contributions to a CCP, institutions shall apply the treatment set out in Chapter 6, Section 9 to calculate their risk-weighted exposure amounts for the purposes of points (a) and (f) of Article 92(3) CRR. For all other types of exposures to a central counterparty, institutions shall treat those exposures either: a)     as exposures to an institution for qualifying CCPs; or b)     as exposures to a corporate for other types of exposures to a non-qualifying CCP. It is not clear whether the qualifying CCP acting as a general clearing member of a non-qualifying CCP is considered to a CCP in respect of Article 107 CRR.

Answer

According to Article 305(1) of Regulation (EU) No 575/2013 (CRR), an institution client of centrally cleared transactions shall calculate its own fund requirements for these CCP-related transactions according to Part III, Title II, Chapter VI, Sections 1 to 8. Where the institution is a client of a qualifying CCP, which is acting as a general clearing member of a non-qualifying CCP, the institution shall treat contracts cleared by the NQCCP for the purpose of computing capital requirements as bilateral OTC transactions and therefore refer to Part III, Title II, Chapter VI, Sections 1 to 8, and in particular, to Article 107(2)(b) CRR.

Original source: European Banking Authority, Q&A ID 2015_2138

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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