EBA · 2018_3949 Rejected question

Look-through approach resulting in a credit risk position of own institution

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
132, para. 4
Topic
Credit risk
Submitted by
Industry association
Submitted
2018-06-01
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Question

When applying the look-through approach of Article 132(4) CRR, what risk weight shall an institution apply to a position that is based against its own institution?

Background

A CIU generally invests less than 100% of its assets and holds a liquidity reserve in form of a cash deposit at a credit institution.   Example: CIU A invests 95% of its assets and deposits 5% as a liquidity reserve (cash deposit) at institution B. Institution B invests 1.000.000 EUR in CIU A; applying the look-through approach of article 132 (4) CRR. Of all assets, 50.000 EUR will be a credit risk position against its own institution (Institution B).
No answer published yet.

Original source: European Banking Authority, Q&A ID 2018_3949

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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