Should the concept of significant risk transfer be applied to the leverage ratio computation of securitisations? Should the underlying exposures be taken into account in case of no significant risk transfer?
The concept of significant risk transfer has been introduced in order to determine whether credit risk-weighted assets should be computed on the securitisation positions or on the underlying exposures of the securitisation. It's not clear if this concept is applicable to the leverage ratio computation as well.
None of the provisions in Article 429 of Regulation (EU) 575/2013 (CRR) allow an originator to take into account that a significant risk transfer is achieved for exposures which it has securitised.
It should be noted that the principle of significant risk transfer is only used in Article 245 of the CRR for specifying how to determine the risk weighted capital requirements for the originator of a securitisation. Significant risk transfer is not considered for the calculation of the leverage ratio.
Article 429(4) CRR requires including all non-deducted assets and off-balance sheet items in the calculation of the total exposure measure. Where securitised exposures are still included in the institution's assets and are not deducted when determining the capital measure of the leverage ratio, the rules in Article 429 CRR do not allow excluding these assets from the calculation of the exposure measure of the leverage ratio, irrespective of whether a significant risk transfer is achieved. Article 111(1) of the CRR continues to provide the determining treatment, stating that the exposure value of an asset item shall be its accounting value.