EBA · 2021_6273 Rejected question

Jump-to-default risk weights in specific reporting requirements for market risk

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
325x, para. 1
Topic
Market risk
Submitted by
Credit institution
Submitted
2021-11-11
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Question

Which risk weights should be used in the case of multiple exposures in different seniority classes and credit quality steps to the same obligor?

Background

According to Article 325x(1) CRR, institutions shall calculate net JTD (jump-to-default) amounts by offsetting the gross JTD amounts of short exposures and long exposures and offsetting shall only be possible between exposures to the same obligor where the short exposures have the same seniority as, or lower seniority than, the long exposures.   However, it is possible that the same obligor has exposures in multiple seniority classes and which also have different credit quality steps. In that case, it is unclear which risk weight should be used.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6273

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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