Question ID
2024_7204
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Credit risk
Article
162
Paragraph
2
Subparagraph
c &d
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
EBA/GL/2016/11 - Guidelines on disclosure requirements under Part Eight of CRR
Article/Paragraph
N/A
Type of submitter
Individual
Subject matter
Remaining maturity of the transactions for collateralised transactions
Question

As per CRR Article 162(2)(c)& (d)- This states (as per below). Can the term "remaining maturity" in the below paragraphs be defined as Margin Period of Risk for collateralised transactions and Contractual maturity for un-collateralised transactions?

(c) 

for exposures arising from fully or nearly-fully collateralised derivative instruments listed in Annex II and fully or nearly-fully collateralised margin lending transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least 10 days;

(d) 

for repurchase transactions or securities or commodities lending or borrowing transactions which are subject to a master netting agreement, M shall be the weighted average remaining maturity of the transactions where M shall be at least five days. The notional amount of each transaction shall be used for weighting the maturity;

Background on the question

In EBA Q&A-2014_883 (https://www.eba.europa.eu/single-rule-book-qa/qna/view/publicId/2014_883):

The term "The remaining maturity is determined by the maximum remaining time that the obligor is permitted to take to fully discharge its contractual obligations". For collateralised transaction, this is usually MPOR.  Also CRR Article 272() (9) define MPOR as per below which aligns with the EBA Q&A defines as remaining maturity. 

‘margin period of risk’ means the time period from the most recent exchange of collateral covering a netting set of transactions with a defaulting counterparty until the transactions are closed out and the resulting market risk is re-hedged;

Hence, the question arises for transactions highlighted in CRR Article 162(2)(c)& (d)-can we use MPOR as remaining maturity?

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 as the existing regulatory framework is sufficiently clear and unambiguous.

The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.

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Status
Rejected question