EBA · 2024_7030 Rejected question

Credit derivatives on CLO in SA-CCR

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
280c, para. 1
Topic
Credit risk
Submitted by
Consultancy firm
Submitted
2024-03-05
Browse ECB SSM Register → More Q&As on this regulation →

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

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.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7030

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Annex 11: Underlying Exposures - ABCP - Underlying Exposure Type

Answered 2019-07-17

Annex 11: Underlying Exposures - ABCP - Number of underlying exposures of this exposure type being securitised

Answered 2020-05-28

Annex 4: Underlying Exposures - Corporate - Managed by CLO

Answered 2019-01-31

1454

Answered 2019-09-05

Reporting Templates

Answered 2022-12-14

More Q&As on this topic

Application of the currency mismatch treatment to self-employed individuals (natural persons carrying out an economic activity) under Article 123a CRR.

Answered 2026-07-31

Requirements for the purpose of treating exposures secured by mortgages on immovable property as duly secured from an RWA computation perspective under CRR Article 124(2) of the CRR.

Answered 2026-05-08

Use of credit assessments by ECAIs not in scope of Regulation (EC) No 1060/2009.

Answered 2026-03-13

US Hard test: adequacy of considering US charge-off rates corresponding to loss rates for exposures secured by residential property or commercial immovable property situated within the territory of the US

Answered 2026-02-27

Application of the SME definition in specific cases

Answered 2025-11-28

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.