EBA · 2025_7649 Rejected question

Calculation of the unmargined exposure value for a netting set with multiple margin agreement or including both transaction subject to a margin agreement and transaction not subject to a margin agreement

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
274, para. 3 & 4
Topic
Credit risk
Submitted by
Individual
Submitted
2025-12-09
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Question

How to calculate the capped exposure value, i.e., the exposure value of the netting set in the event that it is not subject to any type of margin agreement, when there are multiple margin agreements applicable to this netting set or when this netting set includes both transactions subject to a margin agreement and transactions not subject to a margin agreement? For the calculation of the unmargined value, should all deals be included in a single sub-netting set (the one containing contracts not subject to margining) and not divided as required by paragraph 4 of Article 274, or should the sub-netting sets remain separate and their value be calculated as if they were unmargined?

Background

According to paragraph 3 of Article 274, the exposure value of a netting set subject to a margin agreement must be capped at the value calculated as if it were not subject to such an agreement. Pursuant to Article 4, where multiple margin agreements apply to the same netting set, or the same netting set includes both transactions subject to a margin agreement and transactions not subject to a margin agreement, an institution shall calculate the value of its exposure by establishing hypothetical relevant netting subsets, composed of transactions included in the netting set, as follows: (i) all transactions subject to a margin agreement and to the same margin risk period determined in accordance with Article 285(2) to (5) shall be assigned to the same netting set; (ii) all transactions not subject to a margin agreement shall be assigned to the same netting subset, distinct from the netting subsets established in accordance with point (i) of this paragraph.
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Original source: European Banking Authority, Q&A ID 2025_7649

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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