EBA E-mail alert January 31, 2025

Given the requirements of article 378 and 379 CRR II, shall the institution apply the article 378 also in case of free deliveries (disciplined by article 379) or should it be applied only to DVP transactions?

Article 285 paragraph 3(b) references “OTC derivative that cannot be easily replaced”. By definition “OTC derivative” does not include listed / exchange trades derivatives.  The final sentence of paragraph 3 states “An institution shall consider whether trades or securities it holds as collateral are concentrated in a particular counterparty and if that counterparty exited the market precipitously whether the institution would be able to replace those trades or securities.” Is this is a clarification of 3(b) meaning that the reference to “replace those trades” would be in relation to OTC derivatives? Or alternatively is the reference to “replace those trades” broader than OTC derivatives?