Question ID:
2013_42
Legal Act:
Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic:
Securitisation and Covered Bonds
Article:
129
Paragraph:
1
Subparagraph:
(b)
COM Delegated or Implementing Acts/RTS/ITS/GLs:
Not applicable
Article/Paragraph:
N/A
Type of submitter:
Competent authority
Subject Matter:
Preferential risk weight of covered bonds containing securitisation positions of sovereign exposures as cover pool assets
Question:
Would UCITS compliant covered bonds containing public sector securitisation exposures qualify for preferential risk weights under Article 129 of Regulation (EU) No 575/2013 (CRR)?
Background on the question:
Article 129(1)(a) of CRR states that covered bonds can be collateralised, inter alia, by “…exposures to or guaranteed by central governments, central banks, public sector entities, regional governments and local authorities in the Union”. However, the text does not mention that securitisation positions resulting from the securitisation of exposures to the public sector can qualify as covered assets, and a look through approach is not possible in this context. Only securitisation exposures to residential and commercial mortgages are explicitly mentioned in Article 129(1)(d) (ii) and (f) (ii) of CRR, and in each case there are specific criteria that must first be fulfilled for such securitisation exposures to qualify.
Date of submission:
08/07/2013
Published as Final Q&A:
31/10/2013
EBA Answer:

UCITS-compliant covered bonds containing public sector securitisation exposures do not qualify for preferential risk weights under Article 129 of Regulation (EU) No 575/2013 (CRR), as public sector securitisation exposures are not eligible assets under Article 129 (1) of CRR.

Status:
Final Q&A