SPV repack transactions

Article 273(1) of Regulation (EU) No 575/2013 (CRR) specifies that institutions shall calculate the exposure value for the contracts listed in Annex II and for credit derivatives, with the exception of the credit derivatives referred to in paragraphs 3 and 5 of this Article, on the basis of one of the methods set out in Sections 3 to 6 in accordance with this Article. Accordingly, to the extent the transaction between the institution and the SPV falls under the instruments listed in Annex II CRR or is a credit derivative not referred in paragraphs 3 and 5 of Article 273 of the CRR, they should be subject to own funds requirements for counterparty credit risk in accordance with Article 92(4), point (a) and (g) of the CRR. In addition, market risk own funds requirements should also apply to the transaction to the extent this is included in the trading book, or in case it is subject to foreign exchange risk or commodity risk, in accordance with Article 92(4), point (b) and (c) of the CRR. It is noted that the own funds requirements for market risk should also capitalise the default risk to the derivative transaction arising from the reference asset of the SPV repack transaction (which would for example be captured in the default risk charge under the alternative standardised or internal model approaches). With regard to the eligibility and the recognition of collateral in the calculation of the exposure value for counterparty credit risk of derivative transactions, they should be ascertained and performed, respectively, in accordance with the relevant provisions laid down in Chapter 4 and Chapter 6 of Title II of Part Three of the CRR. For example, for exposures under the standardised approach for counterparty credit risk (SA-CCR), to be eligible for recognition the collateral shall satisfy the requirements in Articles 276(1)(a) and (b) of the CRR, while under the internal model method (IMM) for counterparty credit risk it shall satisfy the requirements in Article 284(2) and 292(9) of the CRR. In addition, financial collateral may only be eligible if the credit quality of the obligor and the value of the collateral do not have a material positive correlation in accordance with Article 207(2) of the CRR, as clarified in [Q&A 2025_7576 (link)]. The recognition of eligible collateral is then performed in accordance with Article 276(1)(d) of the CRR for exposures under the SA-CCR, and in accordance with Article 285(1), (6) and (7) of the CRR for exposures under the IMM. This answer is based on the assessment of the market risk and counterparty credit risk capital requirements arising from SPV repack transactions taking into account the current CRR requirements. As these transactions are understood to take place also in other jurisdictions, the EBA will monitor international developments in this matter. In this regard, should international standards specify a treatment different than that specified in this answer, the EBA considers that this should be reflected where appropriate in the level 1 text.