Scenario E5: Reporting institution as source of funding (no grouping requirement)

In the following scenario, the reporting institution is the sole provider of funds for three customers. It is not an ‘external funding source’ that connects the three clients , and it is a funding source that can normally be replaced.

Scenario E6: Reporting institution as source of funding (grouping requirement) In the following scenario, the reporting institution is the liquidity provider of three SPVs or conduits (similar structures):

In such a case, the reporting institution itself can constitute the source of risk (the underlying risk factor) as recognised in recital 54 to Regulation (EU) No 575/2013:¹⁴

In the scenario above, it does not make a difference whether the liquidity lines are directly to the SPV or to underlying assets within the SPV; what matters is the fact that liquidity lines are likely to be drawn on simultaneously. Diversification and quality of the assets are also not considerations in this scenario, nor is the reliance on investors in the same sector (e.g. investors in the ABCP market), as the single risk is created by the use of similar structures and the reliance on commitments from one source (i.e. the reporting institution as the originator and sponsor of the SPVs).

¹⁴ Recital 54 to Regulation (EU) No 575/2013 reads: ‘In determining the existence of a group of connected clients and thus exposures constituting a single risk, it is also important to take into account risks arising from a common source of significant fundi ng provided by the institution itself, its financial group or its connected parties.’

1. Apžvalga

1.1 Nuorodos

1.2 Nustatyti reikalavimai

1.3 Susiję standartai

2. Nustatyti reikalavimai

3. Susiję standartai

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