Application of Article 207(2) of the CRR to financial collateral under the counterparty credit risk framework

For exposures under the standardised approach for counterparty credit risk (SA-CCR), Article 276(1)(a) and (b) of Regulation (EU) No 575/2013 (CRR) specifies that only collateral that is eligible under Articles 197 and 299 shall be recognised in the calculation of the own funds requirements for counterparty credit risk associated to those exposures. For exposures under the internal model method (IMM) for counterparty credit risk, Article 284(2) of the CRR specifies that an institution may include in its forecasting distributions for changes in the market value of the netting set only eligible financial collateral as referred to in Articles 197 and 198 and points (c) and (d) of Article 299(2) of the CRR. Article 207(1) of the CRR specifies that under all approaches and methods, financial collateral and gold shall qualify as eligible collateral where all the requirements laid down in paragraphs 2 to 4 are met. Accordingly, financial collateral as referred to in Article 197, 198 and 299 of the CRR should satisfy the requirements in Article 207 of the CRR. This implies that Article 207(2) of the CRR should apply to financial collateral employed under the counterparty credit risk framework.