EBA finalises CRR GL on tri-party repurchase agreements in large exposure treatment

2021/02/16

The European Banking Authority (EBA) published final guidelines (GL), which will apply from 28 June 2021, specifying the conditions for the application of the alternative treatment of institutions’ exposures related to ‘tri-party repurchase agreements’ for large exposure purposes in accordance with Art. 403(4) of the Capital Requirements Regulation (CRR). Under the alternative treatment, institutions may replace the total amount of their exposures to a collateral issuer due to tri-party repurchase agreements facilitated by a tri-party agent, with the full amount of the limits that the institution has instructed the tri-party agent to apply to those exposures. The CRR requires institutions performing such a replacement to comply with three conditions specified in the GL: (i) verification that the tri-party agent has appropriate safeguards to prevent breaches of the limits instructed by the institution; (ii) the competent authority has not expressed any material concerns; and (iii) the sum of the limit instructed to the tri-party agent and any other exposures of the institution to the collateral issuer does not exceed the limit set out in Art. 395(1) CRR. In addition, the GL set the requirements on the conditions and frequency for determining, monitoring, and revising the limits specified by the institution.