Question ID
2023_6702
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Leverage ratio
Article
429a
Paragraph
1
Subparagraph
m
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Not applicable
Type of submitter
Credit institution
Subject matter
Leverage - Traditional securitisations under article 244 (recognition of significant risk transfer) that should be included within the scope of article 429a paragraph 1 point m
Question

Under Article 429a ยง1-m of CRR2, institutions may exclude from their total exposure measure the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer (SRT), as per article 244(2). 

May institutions also exclude from their total exposure measure the securitised exposures from traditional securitisations that are referred to in article 244-1-b) i.e. the securitisations under the 'full deduction' option where the originator institutions apply a risk weight of 1 250% to all retained securitisation positions or where these retained securitisation positions are deducted from Common Equity Tier 1 items in accordance with Article 36(1)(k) of the CRR ?

Background on the question

The securitisations that fall within the scope of the 'full deduction' option are not 'SRT' transactions in the sense of the SRT framework and guidelines. However, the securitised exposures corresponding to these securitisations are also excluded from the calculation of risk-weighted exposure amounts since the retained tranches are 1250% risk weighted or deducted from CET1. 

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Article 429a(1)(b) of Regulation (EU) No 575/2013 as amended. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question