Question ID
2025_7576
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
207
Paragraph
(2)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
.
Name of institution / submitter
European Central Bank
Country of incorporation / residence
Germany
Type of submitter
Competent authority
Subject matter
SPV repack transactions (collateral eligibility)
Question

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?

Background on the question

EBA Q&A 2025_7575 establishes that SPV repack transactions are subject to counterparty credit risk and mentions eligibility criteria for recognising collateral in the calculation of the exposure value. For positions under both SA-CCR and IMM, recognition of collateral is limited to what is eligible as financial collateral under the CRR credit risk mitigation framework [SA-CCR: Article 276(1)(a) and (b) CRR; IMM: Article 284(2) CRR]. In case volatility adjustments to the collateral value are used, these must be selected in accordance with approaches under the Financial Collateral Comprehensive Method set out in the CRR credit risk mitigation framework [SA-CRR: Article 276(1)(d); IMM: Article 285(7) CRR].

Submission date
Status
Question under review