ESA Joint Committee · priips-57 Final

How should derivatives be weighted when applying Point 40 of Annex II?

Name: How should derivatives be weighted when applying Point 40 of Annex II?: ESA Joint Committee Q&A — EU Financial Regulatory Q&A
Creator: ESA Joint Committee (EBA, ESMA, EIOPA)
License: https://creativecommons.org/licenses/by/4.0/

Regulation: PRIIPs
Answered: 2017-07-04
Answer provided by: ESAs (EBA, ESMA, EIOPA)

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Joint Committee Q&As are published in consolidated PDF documents without explicit question/answer delimiters. Section boundaries below are identified automatically and may occasionally be imprecise.

Question

How should derivatives be weighted when applying Point 40 of Annex II?

Answer

The credit risk of the counterparty to a derivative, if it is not fully and appropriately collateralised, should be weighted in proportion to the assets that it represents compared to the other assets for which a credit risk assessment needs to be undertaken.

View original on ESA Joint Committee (EBA, ESMA, EIOPA) ↗

This Q&A is published by ESA Joint Committee (EBA, ESMA, EIOPA) and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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