Commission Delegated Regulation (EU) No 1187/2014

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Commission Delegated Regulation (EU) No 1187/2014

Supplementing Regulation (EU) No 575/2013

Commission Delegated Regulation (EU) No 1187/2014 of 2 October 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council as regards regulatory technical standards for determining the overall exposure to a client or a group of connected clients in respect of transactions with underlying assets was published in the Official Journal of the European Union on 7th November 2014. 

This Regulation shall apply to collective investment undertakings, securitisations and other transactions where there is an exposure to underlying assets.

The Regulation entered into force on 27 November 2014 and set out the following :

  • (i) the methodology for the calculation of the value of exposures to transactions with underlying assets,
  • (ii) the procedure used to determine the contribution of underlying exposures to overall exposures to clients and groups of connected clients and
  • (iii) the conditions under which the structure of the transaction does not constitute an additional exposure.

One of the key elements of this Regulation is the introduction of a materiality threshold (0.25% of the institution's eligible capital) below which institutions would not need to apply the look-through approach and identify the obligors of the underlying assets.

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