Article 298
 Effects of recognition of netting as risk-reducing
 Netting for the purposes of Sections 3 to 6 shall be recognised as set out in those Sections.

Regulation 2019/876

Effects of recognition of netting as risk-reducing

Article 298

Q&As

We are aware of differing interpretations by market participants in relation to the answers given under EBA Single Rulebook Q&A 2013_206 and 2016_2735 on the application of Collateral Received to achieve further credit risk mitigation to the extent that Collateral Received exceeds the net replacement cost, RC net.For collateral received to reduce Net Replacement Cost, RC net, can surplus collateral be used to offset the reduced potential future credit exposure, PCE red, or may EAD, RC net + PCE red be further offset by any surplus Collateral Received that has not been applied in the RC net calculation?

Archived Q&A 2017_3303

We seek clarification regarding the consideration of collateral in the current exposure method (referred to as the Mark-to-market method in Regulation (EU) No 575/2013 (CRR) for the own capital requirements as well as for the large exposure regime. Is it possible to allow for collateral posted in calculating the current replacement according to Article 298(1)(c)(i) of Regulation (EU) No 575/2013 (CRR)?

Final Q&A 2013_206

We seek clarification regarding the potential future credit exposure referred to in Article 274(2) of Regulation (EU) No 575/2013 (CRR) for all contracts included in a netting agreement. Should the collateral (given or received) be considered in the denominator of NGR? Is the proposed calculation of RC gross correct?

Archived Q&A 2016_2735

In the context of the application of contractual netting under the Mark-to-Market Method outlined in Article 274 of Regulation (EU) No 575/2013 (CRR), Article 298 (2) refers to ‘perfectly matching contracts’ that include “similar contracts in which a notional principal is equivalent to cash flows if the cash flows fall due on the same value date and fully in the same currency”. It is not defined in the CRR is what constitutes "similar" and whether the reference in the Article implies that perfectly matching contracts are limited to FX related contracts.

Archived Q&A 2014_798

Can the perfectly matching rule be applied to the below two FX forwards (assuming the same maturity date and same counterparty) that are perfectly matching with respect to the EUR leg:FX forward 1: Bank pays USD 150 in return for EUR 100FX forward 2: Bank pays EUR 100 in return for JPY 1320such that the Mark-to-Market method is based on a single FX forward where the bank pays USD 150 in return for JPY 1320?

Archived Q&A 2015_2115

Guidelines

Opinions

Other

Allgemeinverfügungen

Merkblätter

Rundschreiben

Konsultation 01/2020 - Entwurf eines Anzeigenformulars für die Einreichung von Nettinganzeigen

Konsultation 01/2020

Konsultation 01/2020 - Formular zur Anzeige von Nettingvereinbarungen

Konsultation 01/2020 - Formular

Regulations

Decisions

Application of stricter requirements by institutions

Definitions specific to capital requirements for credit risk

Application of requirements on an individual basis

General requirements for own funds and eligible liabilities

Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital

Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds

Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity

Minority interests included in consolidated Common Equity Tier 1 capital

Qualifying Tier 1 instruments included in consolidated Tier 1 capital

Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital

Qualifying own funds included in consolidated own funds

Qualifying own funds instruments included in consolidated Tier 2 capital

Qualifying eligible liabilities instruments

MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIES

Risk weighting and prohibition of qualifying holdings outside the financial sector

QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTOR

GENERAL REQUIREMENTS, VALUATION AND REPORTING

General principles governing the use of the different approaches

OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK

Own funds requirements for foreign-exchange risk

Own funds requirements for commodities risk

Use of internal models to calculate own funds requirements

OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK

Alternative to using CVA methods for calculating own funds requirements

OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK

Definition of an institution for large exposures purposes

Capacity to identify and manage large exposures

Compliance with large exposures requirements

Calculating additional own funds requirements for large exposures in the trading book

Procedures to prevent institutions from avoiding the additional own funds requirement

Calculating the effect of the use of credit risk mitigation techniques

REQUIREMENTS FOR SPONSOR AND ORIGINATOR INSTITUTIONS

Reporting obligation and reporting format

Operational requirements for holdings of liquid assets

Currencies with constraints on the availability of liquid assets

Outflows from credit and liquidity facilities

General rules for the calculation of the net stable funding ratio

Derogation for small and non-complex institutions

Available stable funding for the simplified calculation of the net stable funding ratio

Required stable funding for the simplified calculation of the net stable funding ratio

Exposures excluded from the total exposure measure

Calculation of the exposure value of assets

Calculation of the exposure value of derivatives

Additional provisions on the calculation of the exposure value of written credit derivatives

Counterparty credit risk add-on for securities financing transactions

Calculation of the exposure value of off-balance-sheet items

Calculation of the exposure value of regular-way purchases and sales awaiting settlement

Reporting on prudential requirements and financial information

Specific reporting requirements for market risk

Feasibility report on the integrated reporting system

Non-material, proprietary or confidential information

Disclosures by small and non-complex institutions

Disclosure of risk management objectives and policies

Disclosure of own funds and eligible liabilities

Disclosure of own funds requirements and risk-weighted exposure amounts

Disclosure of exposures to counterparty credit risk

Disclosure of countercyclical capital buffers

Disclosure of indicators of global systemic importance

Disclosure of exposures to credit risk and dilution risk

Disclosure of encumbered and unencumbered assets

Disclosure of the use of the Standardised Approach

Disclosure of operational risk management

Disclosure of exposures to interest rate risk on positions not held in the trading book

Disclosure of exposures to securitisation positions

Disclosure of environmental, social and governance risks (ESG risks)

TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE

Disclosure of the use of the IRB Approach to credit risk

Disclosure of the use of credit risk mitigation techniques

Disclosure of the use of the Advanced Measurement Approaches to operational risk

QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES

Macroprudential or systemic risk identified at the level of a Member State

Review of the phasing-in of the liquidity coverage requirement

Alternative standardised approach for market risk

Objections to regulatory technical standards

Own funds requirements, unrealised gains and losses measured at fair value and deductions

Transitional provisions for disclosure of own funds

Large exposures, own funds requirements, leverage and the Basel I Floor

Prudential treatment of exposures related to environmental and/or social objectives

Own funds requirements for exposures in the form of covered bonds

Capital instruments subscribed by public authorities in emergency situations

Holdings of eligible liabilities instruments

CIUs with an underlying portfolio of euro area sovereign bonds

Method for the calculation of the exposure value of derivative transactions

Review of capital instruments which may be written down or converted at the point of non-viability

Report on overshootings and supervisory powers to limit distributions

Deduction of defined benefit pension fund assets from Common Equity Tier 1 items

Amendment of Regulation (EU) No 648/2012

TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS

Metadata

Level 2 legal acts

Related documents

Article 298 - Effects of recognition of netting as risk-reducing

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