Question ID
2022_6423
Legal act
Regulation (EU) No 2019/2033 (IFR)
Topic
Concentration risk
Article
36
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on reporting and disclosure requirements for investment firms
Article/Paragraph
EBA/RTS/2020/11 Draft RTS to specify the methods for measuring the K-factors (article 15(5) point (a) of the IFR), article 10 and 11
Type of submitter
Investment firm
Subject matter
Concentration risk and own risk hedging
Question

As per IFR article 36 paragraph 1 investment firm shall calculate exposure value with regard to a client or group of connected clients for the purposes of concentration risk as the exposure value of contracts and transactions referred to in Article 25(1) with the client in question, calculated in the manner laid down in Article 27. The question is whether the concentration risk should be also calculated for financial counterparties (e.g. members of QCCP) who investment firms hedge their own risk with (hedging of positions arising from derivatives with their clients).

Background on the question

It is clearly stated in IFR article 36 that concentration risk should be calculated for client or a group of connected client, but no mention about counterparties who the investment firms hedge their own risk with.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because it is considered that EBA guidance or clarification is not needed with regard to the issue that it raises. It is considered that the existing regulatory framework is sufficiently clear and unambiguous.

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Status
Rejected question