EBA · 2024_7204 Rejected question

Remaining maturity of the transactions for collateralised transactions

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
162, para. 2
Topic
Credit risk
Submitted by
Individual
Submitted
2024-09-23
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Question

As per CRR Article 162(2)(c)& (d)- This states (as per below). Can the term "remaining maturity" in the below paragraphs be defined as Margin Period of Risk for collateralised transactions and Contractual maturity for un-collateralised transactions? (c)  for exposures arising from fully or nearly-fully collateralised derivative instruments listed in Annex II and fully or nearly-fully collateralised margin lending transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least 10 days; (d)  for repurchase transactions or securities or commodities lending or borrowing transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least five days. The notional amount of each transaction shall be used for weighting the maturity;

Background

In EBA Q&A-2014_883 (https://www.eba.europa.eu/single-rule-book-qa/qna/view/publicId/2014_883): The term "The remaining maturity is determined by the maximum remaining time that the obligor is permitted to take to fully discharge its contractual obligations". For collateralised transaction, this is usually MPOR.  Also CRR Article 272() (9) define MPOR as per below which aligns with the EBA Q&A defines as remaining maturity.  ‘margin period of risk’ means the time period from the most recent exchange of collateral covering a netting set of transactions with a defaulting counterparty until the transactions are closed out and the resulting market risk is re-hedged; Hence, the question arises for transactions highlighted in CRR Article 162(2)(c)& (d)-can we use MPOR as remaining maturity?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7204

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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