- Question ID
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2024_7193
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
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Article 325N
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) No 1423/2013 - ITS on disclosure of own funds requirements
- Article/Paragraph
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N/A
- Type of submitter
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Other
- Subject matter
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Treatment of feature of tranching for mortgage backed securities
- Question
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Under the US NPR, the Fed has indicated that because the credit risk is to the agency and not the pool, the tranching doesn't count for CSR purposes, and thus the proper risk class to calculate is CSR_NS (not CSR_SNC). Banks in the US subject to FRTB have been following this convention as part of the Fed's Hypothetical Portfolio Exercise. Does the EU expect to follow this interpretation as well?
- Background on the question
-
The background is when you have institutions that are subject to multi-jurisdiction rules and given that the mortgage market is predominantly in the US, having banking players following two different regulatory frameworks would seem misaligned.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because it does not fulfil the formal criteria for submission. For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.
- Status
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Rejected question
