Version in force , Modified +595 −72§
Amended by Regulation (EU) 2019/2033 32019R2033 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2021/558 32021R0558 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2020/873 32020R0873 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
Point (c) now describes the exposure value as one the institution 'may set' to zero rather than one that automatically 'is equal to' zero, and a new point (d) is added covering the reverse case where the institution is required to reimburse the client, directing it to apply the treatment in point (a) or (b) as applicable.
Paragraph 2 changes the introductory wording from 'Notwithstanding paragraph 1' to 'By way of derogation from paragraph 1' and adjusts the verb for insolvency of other clients from singular to plural agreement.
Paragraph 3 now adds a reference to Section 4 of Chapter 4 alongside the existing reference to Sections 1 to 8 of the Chapter.
Cited: Art. 306, v1 (external, EUR-Lex) · Art. 306, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 28 December 2020 02013R0575-20201228 → this version, in force 28 June 2021 02013R0575-20210629
Article 306
Own funds requirements for trade exposures
1. An institution shall apply the following treatment to its trade exposures with CCPs:
(a) it shall apply a risk weight of 2 % to the exposure values of all its trade exposures with QCCPs;
(b) it shall apply the risk weight used for the Standardised Approach to credit risk as set out in Article 107(2)(b) to all its trade exposures with non-qualifying CCPs;
(c) where an institution is acting acts as a financial intermediary between a client and a CCP CCP, and the terms of the CCP-related transaction stipulate that the institution is not obligated required to reimburse the client for any losses suffered due to changes in the value of that transaction in the event that the CCP defaults, that institution may set the exposure value of the transaction trade exposure with the CCP that corresponds to that CCP-related transaction to zero;
(d) where an institution acts as a financial intermediary between a client and a CCP, and the terms of the CCP-related transaction stipulate that the institution is equal required to zero. reimburse the client for any losses suffered due to changes in the value of that transaction in the event that the CCP defaults, that institution shall apply the treatment in point (a) or (b), as applicable, to the trade exposure with the CCP that corresponds to that CCP-related transaction.
2. Notwithstanding By way of derogation from paragraph 1, where assets posted as collateral to a CCP or a clearing member are bankruptcy remote in the event that the CCP, the clearing member or one or more of the other clients of the clearing member becomes become insolvent, an institution may attribute an exposure value of zero to the counterparty credit risk exposures for those assets.
3. An institution shall calculate exposure values of its trade exposures with a CCP in accordance with Sections 1 to 8 of this Chapter, Chapter and with Section 4 of Chapter 4, as applicable.
4. An institution shall calculate the risk-weighted exposure amounts for its trade exposures with CCPs for the purposes of Article 92(3) as the sum of the exposure values of its trade exposures with CCPs, calculated in accordance with paragraphs 2 and 3 of this Article, multiplied by the risk weight determined in accordance with paragraph 1 of this Article.