On 22 July 2020, the European Banking Authority (EBA) issued a consultation paper detailing on the three conditions institutions should comply with when they decide to make use of the alternative treatment with regard to tri-party repurchase agreements facilitated by a tri-party agent.

Article 403(3) of the Capital Requirements Regulation (CRR) provides that an institution may replace the total amount of its exposures to a collateral issuer due to tri-party repurchase agreements facilitated by a tri-party agent, using as an alternative treatment the full amount of the limits that the institution has instructed the tri-party agent to apply to the securities issued by that collateral issuer. The amount of such a limit must be added to any other exposures to the same collateral issuer with the overall amount complying with the large exposure limits.

To conduct the replacement, institutions must observe certain conditions. The EBA is mandated under Article 403(4) of the CRR, to issue guidelines specifying those conditions, including the frequency for determining, monitoring and revising the full amount of the limits instructed by the institution to the tri-party agent.

The deadline for comments on the consultation paper is 22 October 2020.

When finalised, the guidelines will be translated into the official EU languages and published on the EBA website. The deadline for Member State competent authorities to report whether they comply with the guidelines will be two months thereafter. The guidelines will apply from June 2021.