Question ID
2022_6424
Legal act
Regulation (EU) No 2019/2033 (IFR)
Topic
K-factor requirements
Article
29
Paragraph
8
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
The potential future exposure of a netting set with bilaterally exchanged collateral
Question

The potential future exposure of a netting set with clients for which collateral is exchanged bilaterally may be decreased to 42%. Is it applicable only if the investment firm is the recepient of the collateral (initial and variation margin) or it can be also applied if the investment firm is the collateral provider.

Background on the question

In IFR article 29 paragraph 8 is stated that the potential future exposure of a netting set is the sum of the potential future exposure of all transactions included in the netting set, multiplied by 0,42, for netting sets of transactions with financial and non‐financial counterparties for which collateral is exchanged bilaterally with the counterparty, if required, in accordance with the conditions laid down in Article 11 of Regulation (EU) No 648/2012;

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