EBA E-mail alert March 15, 2024

In the case of a transaction with underlying assets where an institution cannot identify the obligors and cannot ensure, by means of the transaction’s mandate, that the underlying exposures of the transaction are not connected with any other exposures in its portfolio, which is the correct procedure for the assignment of the exposures taking into account that a subset of underlying asset exceeds individually 0,25% of the institution’s eligible capital and the remaining underlying assets individually do not exceed that materiality threshold?

CRR Art. 274 (3) states that the exposure value of a netting set that is subject to a margin agreement may be capped at the exposure value of the same netting set assuming it would not be subject to a margin agreement. In this context the question arises if variation margin that the institution has already received or posted should be disregarded in order to determine this cap.  

Is it possible to report negative income from General Government debt securities in F 16?