EBA E-mail alert May 3, 2024

Should only instruments that are options be subject vega and curvature own funds requirements, or they may apply also to instruments that lack an exercisable optionality?

By reference to EBA Q&A 2021_6163, are there some circumstances under which a bank could consider inflows from open reverse repos that  are not contingent for the purposes of its recognition in the LCR? 

Assuming an alternative investment fund (“AIF”) set up to disburse loans to be subsequently securitised acts as retention holder under Article 6(3) of Regulation (EU) 2402/2017 (hereinafter, the “Securitisation Regulation”), should it be resolved to voluntarily liquidate the relevant AIF, what would be the appropriate modality to continue to retain the relevant net economic interest? Would the retained net economic interest be distributed to AIF’s unit-holders, pro quota to their holdings, or would AIF’s liquidator be obliged to wait and complete the liquidation process only after the retention obligation has ceased to exist?

Can a retention holder under Article 6(3)(c) (so-called random selection) of Regulation (EU) 2402/2017 (“Securitisation Regulation”) transfer the retained exposure to a third party if the transfer occurs after crystallisation on the retention holder’s accounts of the losses associated with the relevant exposure?