SPV repack treatment - Survey

1. Does you firm capitalise segregated asset risk in derivatives transactions with Repack SPVs in Europe?

i. Yes

ii. No

2. If your response to Q1 above is No (ii), does your firm capitalise segregated asset risk in derivatives transactions with Repack SPVs at the group level?

i. Yes

ii. No

3. Can you confirm your firm’s approach to Market Risk under B2.5 framework?

i. Standardised Approach

ii. Internal Model Approach

iii. Combination of Standardised Approach and Internal Model Approach

4. Can you confirm your firm’s expected approach to Market Risk under FRTB framework?

i. Standardised Approach

ii. Internal Model Approach

iii. Combination of Standardised Approach and Internal Model Approach

5. Can you confirm your firm’s approach to capitalize Credit Risk?

i. Standardised Approach

ii. Internal Ratings Based Approach

iii. Combination of Standardised Approach and Internal Rating Based Approach

6. Can you confirm your firms’ approach for exposure calculation for Counterparty Credit Risk?

i. Standardised Approach for Counterparty Credit Risk

ii. Internal Model Approach

iii. Combination of Standardised Approach and Internal Model Method

7. Can you confirm the current approach used for booking and capitalizing segregated asset risk in derivatives transactions with Repack SPVs?

i. Asset swap booked as an exotic option (gap put option) whose value is contingent on the default of the collateral obligor. This option is capitalised in MR only

ii. Asset swap booked as an exotic option (gap put option) whose value is contingent on the default of the collateral obligor. This option is capitalised in MR and in CCR and in CVA

iii. Asset swap booked as a vanilla asset swap. The asset swap is capitalised for CCR and CVA. The underlying of the asset swap also gets MR

iv. Asset swap booked as a vanilla asset swap. The asset swap is capitalised for CCR and fair value adjustment for gap risk.

v. Other, please explain

8. If your response to Q7 above is (iii) or (iv), then can you confirm how does your firm calculate counterparty credit risk?

i. Application of Internal Ratings Based Approach. This approach might then consider the Reference Asset

ii. No collateral recognised in exposure calculation. Looking through to the collateral issuer’s risk weight and assign that risk weight to the SPV within Credit Risk Standardized Approach.

iii. No collateral recognised in exposure calculation. You treat and risk weight the SPV as unrated corporate with no reference to the collateral assets.

iv. Consider only the recovery amount of the collateral recognised in exposure calculation. Treat and risk weight the SPV as unrated corporate with no reference to the collateral assets.

v. Consider only the recovery amount of the collateral recognised in exposure calculation. Looking through to the collateral issuer’s risk weight and assign that risk weight to the SPV.

vi. Entire collateral recognised in exposure calculation. Looking through to the collateral issuer’s risk weight and assign that risk weight to the SPV.

vii. Entire collateral recognised in exposure calculation. Treat and risk weight the SPV as unrated corporate with no reference to the collateral assets.

viii. Other, please explain

9. If your response to Q8 above is (vi or vii), then does your firm:

i. Recognise the full market value of the collateral subject to regulatory volatility adjustments

ii. Discount the market value of the collateral for recovery assumptions

10. In case that your firm is treating the exposure under the CCR framework, then for BA-CVA/SA-CVA in which sector would you assign the exposure to?

i. The sector of the collateral

ii. The financial sector

iii. The other sector

11. Does your firm apply accounting CVA for SPV repack exposures?

i. Yes

ii. No

12. What is your firm’s preferred outcome to the EBA Q&A 2025_7575?

i. Market Risk

ii. Counterparty Credit Risk

iii. Combination of Market Risk and Counterparty Credit Risk

13. What is your firm’s preferred approach to CCR capital under EBA Q&A 2025_7576 assuming that CCR is the approach under EBA Q&A 2025_7575?

i. Recognition of the collateral assets and risk weight of the vehicle without reference to the collateral assets (i.e. unrated corporate)

ii. Risk weight of the vehicle based upon the reference assets and no recognition of collateral assets

14. Can you please provide a brief summary of your approach to capitalising segregated asset risk in derivatives transactions with Repack SPVs, where possible with a short explanation of how you calculate the associated risk and outline how your approach aligns with CRR requirements?