Question ID
2024_7030
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Credit risk
Article
280c
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Not applicable
Type of submitter
Consultancy firm
Subject matter
Credit derivatives on CLO in SA-CCR
Question

Should a credit derivative with underlying a CLO (Credit Loan Obligation) be treated as multi-name under Article 280c(1) because the underlying is a pool of loans or single name because the issuer is unique, SPV, or can the tranche be viewed as a whole?

Background on the question

The article 280(c) 1 reported:

1.  For the purposes of paragraph 2, institutions shall establish the relevant credit reference entities of the netting set in accordance with the following:

(a) there shall be one credit reference entity for each issuer of a reference debt instrument that underlies a single-name transaction allocated to the credit risk category; single-name transactions shall be assigned to the same credit reference entity only where the underlying reference debt instrument of those transactions is issued by the same issuer;

(b) there shall be one credit reference entity for each group of reference debt instruments or single-name credit derivatives that underlie a multi-name transaction allocated to the credit risk category; multi-names transactions shall be assigned to the same credit reference entity only where the group of underlying reference debt instruments or single-name credit derivatives of those transactions have the same constituents.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Article 280c(1)(b) of Regulation (EU) No 575/2013 (Capital Requirements Regulation). For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question