EBA · 2019_4466 Rejected question

Applicable methodology for unfunded reserves and liquidity reserves

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
256, para. 4
Topic
Securitisation and Covered Bonds
Submitted by
Credit institution
Submitted
2019-01-17
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Question

How should the risk-weight of reserves for which the computation of D and A is not required be determined?

Background

Unlike for derivatives positions (new Articles 259(8), 261(3), 263(8) CRR), the modified regulation 575/2013 does not provide clear instruction for the risk-weight determination of unfunded reserves, liquidity lines or any assets that do not provide credit enhancement to the securitisation transaction and that are not loss absorbing. In particular Article 256 does not prescribe how to calculate D and A for these exposures.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2019_4466

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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Requirements for the usability of an ECAI within the framework of the Internal Assessment Approach pursuant to Article 259(3) of Regulation (EU) No 575/2013 – before amendments introduced by Regulation (EU) No. 2017/2401 - and Article 265 Regulation (EU) No 575/2013 as amended by Regulation (EU) No 2017/2401. - Anforderungen an die Verwendbarkeit einer ECAI im Rahmen des internen Bemessungsansatzes gemäß Artikel 259 Absatz 3 der Verordnung (EU) Nr. 575/2013 – in der Fassung vor den durch die Verordnung (EU) 2017/2401 eingeführten Änderungen – und Artikel 265 der Verordnung (EU) Nr. 575/2013 in der durch die Verordnung (EU) 2017/2401 geänderten Fassung

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