EBA E-mail alert 29 May, 2026

Do SPV repackaging transaction on standardised platforms incur counterparty credit risk (CCR) or is the termination scenario considered a contractual feature that only results in market risk? If these transactions are subject to counterparty credit risk, how should the value of the collateral be taken into account?

For recognising received financial collateral when calculating the exposure value under the counterparty credit risk (CCR) framework, does Article 207(2) CRR – which requires that the credit quality of the obligor and the value of the collateral shall not have a material positive correlation – apply?

Should guarantees that are received for securitisation positions in a synthetic securitisation transaction and treated as unfunded credit protection for prudential requirements purposes be reported in FINREP? If so, in which FINREP templates these guarantees should be reported?