Single Rulebook Q&A

Question ID: 2017_3649
Legal act : Regulation (EU) No 575/2013 (CRR) as amended
Topic : Credit risk
Article: 134
Paragraph: 4
COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
Article/Paragraph : Article 134 paragraph 4 of CRR
Type of submitter: Credit institution
Subject matter : Credit Risk on Gold Bullion

Under Article 134(4) CRR, what would the risk weight be if gold bullion is held on our behalf by other institutions and where such investment is not backed by gold bullion liabilities?

Background on the question:

Pursuant to Article 134(4) CRR, gold bullion held in own vaults or on an allocated basis to the extent backed by bullion liabilities shall be assigned a 0 % risk weight.

Date of submission: 27/12/2017
Published as Final Q&A: 21/12/2018
EBA answer:

In accordance with Article 134 (4) of the Regulation No 575/2013 (“CRR”), gold bullion, whether held in own vaults or on an allocated basis, is subject to a 0% risk weight only to the extent that it is  backed by bullion liabilities. Where the conditions in Article 134(4) CRR for a 0% are not met, it constitutes an exposure to the entity holding the gold bullion and consequently the risk weight to be applied is that for a delivery obligation of the other entity on this gold bullion.

This answer is without prejudice to the application of market risk capital requirements for gold in accordance with Article 92(3)(c) CRR.

Status: Final Q&A
Permanent link: link