- Question ID
-
2026_7716
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Liquidity risk
- Article
-
460
- Paragraph
-
1
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
- Article/Paragraph
-
23
- Type of submitter
-
Competent authority
- Subject matter
-
LCR treatment of issuances with automatic optionality/knock-out features
- Question
-
What is the LCR treatment of issuances with automatic optionality/knock-out features (hereinafter: ‘auto-callable issuances’) whereby notes are automatically redeemed should the underlier meet a strike level on specified observation dates?
- Background on the question
-
Applicable regulation does not specifically touch upon auto-callable issuances. However, neither a systematic exclusion nor a systematic inclusion would be appropriate as it depends on the knock-out events and the extent to which their trigger is consistent with the LCR stress scenario referred to in Article 5 LCR DR (e.g., increased market volatility).
- Submission date
- Status
-
Question under review
