Circular CSSF 21/776 is a CSSF circular on the conditions for the application of the alternative treatment of institutions’ exposures related to ‘tri-party repurchase agreements’ for large exposures purposes (EBA/GL/2021/01), published 6 July 2021.
\nRelevant for: Central Securities Depositories (CSDs), Credit institutions.
\nKeywords: Depositary, Risk management.
\nCircular CSSF 21/776 on the conditions for the application of the alternative treatment of institutions’ exposures related to ‘tri-party repurchase agreements’ for large exposures purposes (EBA/GL/2021/01)
\nCircular CSSF 21/776 Re: Application of the Guidelines of the European Banking Authority specifying the conditions for the application of the alternative treatment of institutions’ exposures related to ‘tri-party repurchase agreements’ for large exposures purposes (EBA/GL/2021/01)
\nLuxembourg, 6 July 2021
\nPurpose of the Circular
\nTo all credit institutions designated as Less Significant Institutions under the Single Supervisory Mechanism and to all branches of non-EU credit institutions
\nThe purpose of this circular is to inform you that the CSSF, in its capacity as competent authority, applies the Guidelines of the EBA specifying the conditions for the application of the alternative treatment of institutions’ exposures related to ‘tri-party repurchase agreements’ set out in Article 403(3) of Regulation (EU) 575/2013 for large exposures purposes (EBA/GL/2021/01) (the “Guidelines”), published on 16 February 2021. Consequently, the CSSF has integrated the Guidelines into its administrative practices and regulatory approach with a view to promote supervisory convergence in this field at the European level. All the institutions concerned shall duly comply with them. The Guidelines The Guidelines are issued by the EBA in accordance with the mandate set out in Article 403(4) of Regulation (EU) No 575/2013 (the CRR) and apply as from 28 June 2021. The Guidelines specify the conditions that an institution should comply with where it decides to make use of the alternative treatment provided under Article 403(3) of the CRR with regard to tri-party repurchase agreements facilitated by a tri-party agent, including the conditions and frequency for determining, monitoring and revising the limits referred to in point (b) of Article 403(3) of the CRR, for the purposes of applying the substitution approach provided for in point (b) of Article 403(1) of that regulation. The Guidelines are attached to this circular as an annex and are available on the EBA’s website.
\nScope of application The present circular shall apply to Less Significant Institutions 1 and to branches of non-EU credit institutions on an individual basis (In-Scope entities).
\n• •
\nthe institution must verify that the tri-party agent has in place appropriate safeguards to prevent breaches of the limits instructed by the institution; the competent authority has not expressed to the institution any material concerns; the sum of the limit instructed by the institution to the tri-party agent, and any other exposures of the institution to the collateral issuer does not exceed the limit set out in Article 395(1) of the CRR.
\n“Significant supervised entities” as defined in Article 2, point 16 of Regulation (EU) No 468/2014 of the European Central Bank (ECB) of 16 April 2014 (the SSM Framework Regulation) shall refer to the relevant ECB rules.
\nThe text above is the opening of the document; the PDF carries the whole.
\nDocument page, PDF. Source: Commission de Surveillance du Secteur Financier (CSSF), reproduced with the CSSF's consent. The French text prevails.
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