Search for Q&As Submit a question

List of Q&As

Application of Article 254(2) to derivative exposures

Is new Article 254(2) CRR applicable to derivatives positions to hedge market risk?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_4465| Topic: Securitisation and Covered Bonds| Date of submission: 17/01/2019

Synthetic securitisation of undrawn revolving credit facilities

In a synthetic securitisation of undrawn revolving credit facilities (“RCF”), which is compliant with Article 244 of CRR, what is the EAD that should be considered inside the securitisation (which will subject to the risk weighting according to the securitisation framework) and what is the EAD that should be considered outside the securitisation (which will continue to be risk weighted according to the approved IRB model for such exposures)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4025| Topic: Securitisation and Covered Bonds| Date of submission: 26/06/2018

Supervisory Formula Method - calculation of parameters

When using the Supervisory Formula Method, how do you calculate parameters T and L for a securitisation whose underlying assets are made of drawn and undrawn Revolving Credit Facilities?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4262| Topic: Securitisation and Covered Bonds| Date of submission: 11/09/2018

Scope of application of the term "securitisation" and risk retention obligation in Article 405 CRR

Does the term ‘securitisation’ defined in Article 4(1)(61) CRR capture loan origination, as opposed to loan acquisition, where the loan origination occurs over a defined period and is subject to the originated loans satisfying specified eligibility criteria, and is funded by the originator issuing tranched debt with the subordination of the tranches determining the distribution of losses during the ongoing life of the portfolio of originated loans?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_3806| Topic: Securitisation and Covered Bonds| Date of submission: 17/04/2018

Mapping of SEC-ERBA credit quality steps

What mappings will be applicable between the first date of application of Regulation (EU)  575/2013 as amended by Regulation (EU) 2017/2401 (i.e. 1 January 2019) and the entry into force of the ITS (implementing technical standards) on Articles 270a?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2018_4274| Topic: Securitisation and Covered Bonds| Date of submission: 13/09/2018

Recognition of specific credit risk adjustments on securitised defaulted exposures under Article 266(1) CRR to reduce risk-weighted exposure amounts (RWEA) on IRB securitisation positions with 1250% risk weight (RW).

Shall specific credit risk adjustments made on securitised defaulted exposures and treated in accordance with Article 110 CRR be recognised to reduce RWEA on securitisation positions with 1250% RW in application of Article 266(1) CRR?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3141| Topic: Securitisation and Covered Bonds| Date of submission: 01/02/2017

CAP for synthetic securitisations of originator institutions in STD based on Article 252

In case of originator institutions using the standardised approach (STD) having synthetic securitisations, is the CAP applied to all the securitised positions or only on the ones where the risk is retained?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3610| Topic: Securitisation and Covered Bonds| Date of submission: 01/12/2017

Weighted average risk weight calculation of the securitised exposures for an unrated securitisation position in STD according to Article 253

How shall the weighted average risk weight of the securitised exposures for an unrated securitisation position in the standardised approach (STD) be calculated? Has the average to be weighted on EAD before the conversion factor (EAD_pre_ccf) or on EAD?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3609| Topic: Securitisation and Covered Bonds| Date of submission: 01/12/2017

Eligibility as collateral where securitisation positions are issued by an SSPE belonging to the same group

What group entities are considered as “related” to the obligor for the purpose of the second sub-paragraph of Article 207(2) CRR? In particular, does this apply to securitisation special purpose entities (SSPE)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_1628| Topic: Securitisation and Covered Bonds| Date of submission: 19/11/2014

Distribution by an originator to its shareholders of a participation instrument the pay out of which is directly linked to the net cash flows under the net economic interest retained

Would a credit institution acting as originator in relation to a securitisation and holding the net economic interest pursuant to Article 405 CRR be in breach of Article 12 of Regulation (EU) 625/2014 if such credit institution decides to issue to its shareholders, free of charge, a participation instrument the pay out of which is directly linked to the net cash flows under the net economic interest retained by the originator?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures

ID: 2016_2878| Topic: Securitisation and Covered Bonds| Date of submission: 25/08/2016

Calculation of ELGD under the Supervisory Formula Method in case of a re-securitisation

In case of a re-securitisation, in order to calculate the value for ELGD under the Supervisory Formula Method, shall an LGD of 100 % only be applied to those securitised exposures that are securitisation positions or to all securitised exposures where all securitised exposures are to be treated under the Internal Ratings Based Approach (IRBA)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2015_2508| Topic: Securitisation and Covered Bonds| Date of submission: 08/12/2015

Consideration of securitisation positions and securitised exposures, for the purpose of significant risk transfer.

If the originator institution of a synthetic securitisation retains a vertical slice of securitised exposures, as well as some of the tranches, should this vertical slice be treated as a securitisation position as defined in Article 4(1)(62) CRR? If yes, should this position be taken into account to assess whether significant credit risk has been transferred to third parties in accordance with Article 244 CRR?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures

ID: 2015_2472| Topic: Securitisation and Covered Bonds| Date of submission: 18/11/2015

Inferred ratings for unrated IRBA market value hedging transactions (e.g. interest rate / cross currency swaps)

For the purposes of using inferred ratings, is it allowed to use a specific treatment when inferring external ratings to unrated IRBA market value hedging transactions?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_1139| Topic: Securitisation and Covered Bonds| Date of submission: 05/05/2014

Asset Encumbrance & Covered Bonds

Are assets in cover pools that are not necessary to fulfil regulatory requirements deemed to be encumbered for Parts A, B, C and E of the Asset Encumbrance Reporting templates?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_1817| Topic: Securitisation and Covered Bonds| Date of submission: 11/02/2015

Scaling factor for IRBA securitisations with 1250% risk weight under the Ratings Based Method

Does an institution have to multiply the risk-weighted exposure amount of a banking book IRBA securitisation with a 1250% risk weight under the Ratings Based Method with the scaling factor of 1.06?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_1179| Topic: Securitisation and Covered Bonds| Date of submission: 12/05/2014

Exemption of purchased receivables from Aricle 405's retention requirement

Do the provisions in Article 405(1) of Regulation (EU) No 575/2013 apply to purchased receivables?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_1474| Topic: Securitisation and Covered Bonds| Date of submission: 12/09/2014

Risk Retention

Can the retention requirements under Article 405 of Regulation (EU) No 575/2013 (CRR) be satisfied by the provider of the junior/first loss funding for a CLO warehouse where such an entity has also been involved in the selection of the exposures and the setting of criteria, as it can be said, in such capacity, to be acting as "originator"? Also, where the warehouse provides financing for the acquisition of the majority of the exposures but further exposures are acquired from different sources after closing (and in accordance with pre-defined criteria), will this prevent the first loss warehouse provider from being the "originator"?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_265| Topic: Securitisation and Covered Bonds| Date of submission: 19/09/2013

Applicability of the re-securitisation definition to securitisation positions being subject to tranched credit protection according to Article 264(1) of Regulation (EU) No 575/2013 (CRR)

Do the portions of a securitisation position covered and uncovered by senior unfunded credit protection have to be treated as re-securitisation positions in accordance with Article 4(64) of CRR for the purposes of determining the risk-weighted exposure amounts of these portions in accordance with Article 264(1) and for other regulatory purposes?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_53| Topic: Securitisation and Covered Bonds| Date of submission: 10/07/2013

Preferential risk weight of covered bonds containing securitisation positions of sovereign exposures as cover pool assets

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)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_42| Topic: Securitisation and Covered Bonds| Date of submission: 08/07/2013

PDF