On-balance sheet netting - CRR Provision

Regulatory Capital Anatomy™ The JC’s untutored thoughts on how bank capital works. Go Premium Article 219 On-balance sheet netting Loans to and deposits with the lending institution subject to on-balance sheet netting are to be treated by that institution as cash collateral for the purpose of calculating the effect of funded credit protection for those loans and deposits of the lending institution subject to on-balance sheet netting which are denominated in the same currency. — Section 219, CRR View Template Capital Requirements Regulation: 575/2013/ (EUR Lex) | BIS publications: BIS capital requirements for bank exposures to central counterparties | leverage ratio | RWA | portfolio risk | systemic riskIndex: Click ᐅ to expand: Regulatory Capital Comments? Questions? Suggestions? Requests? Insults? We’d love to 📧 hear from you. Sign up for our newsletter.

Under the FCSM, a 0% risk weight may apply to the collateralised part of the exposure, provided the exposure and the collateral are denominated in the same currency, as specified in Article 222(6) of the CRR (whereas, in the presence of a currency mismatch, a 20% risk weight should be associated with the collateralised part of the exposure under Article 222(3) of the CRR)