EBA · 2017_3649 Final Q&A

Credit Risk on Gold Bullion

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
134, para. 4
Topic
Credit risk
Submitted by
Credit institution
Submitted
2017-12-27
Answered
2018-12-21
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Under Article 134(4) CRR, what would the risk weight be if gold bullion is held on our behalf by other institutions and where such investment is not backed by gold bullion liabilities?

Background

Pursuant to Article 134(4) CRR, gold bullion held in own vaults or on an allocated basis to the extent backed by bullion liabilities shall be assigned a 0 % risk weight.

Answer

In accordance with Article 134 (4) of the Regulation No 575/2013 (“CRR”), gold bullion, whether held in own vaults or on an allocated basis, is subject to a 0% risk weight only to the extent that it is  backed by bullion liabilities. Where the conditions in Article 134(4) CRR for a 0% are not met, it constitutes an exposure to the entity holding the gold bullion and consequently the risk weight to be applied is that for a delivery obligation of the other entity on this gold bullion. This answer is without prejudice to the application of market risk capital requirements for gold in accordance with Article 92(3)(c) CRR.

Original source: European Banking Authority, Q&A ID 2017_3649

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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