Single Rulebook Q&A

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Synthetic securitisation of undrawn revolving credit facilities

In a synthetic securitisation of undrawn revolving credit facilities (“RCF”), which is compliant...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2018_4025 | Topic : Securitisation and Covered Bonds | Date of submission: 26/06/2018
Final Q&A View

Supervisory Formula Method - calculation of parameters

When using the Supervisory Formula Method, how do you calculate parameters T and L for a securit...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2018_4262 | Topic : Securitisation and Covered Bonds | Date of submission: 11/09/2018
Final Q&A View

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 oppo...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2018_3806 | Topic : Securitisation and Covered Bonds | Date of submission: 17/04/2018
Final Q&A View

Mapping of SEC-ERBA credit quality steps

What mappings will be applicable between the first date of application of Regulation (EU) ...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2018_4274 | Topic : Securitisation and Covered Bonds | Date of submission: 13/09/2018
Final Q&A View

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 ac...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3141 | Topic : Securitisation and Covered Bonds | Date of submission: 01/02/2017
Final Q&A View

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 securi...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3610 | Topic : Securitisation and Covered Bonds | Date of submission: 01/12/2017
Final Q&A View

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 securitis...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2017_3609 | Topic : Securitisation and Covered Bonds | Date of submission: 01/12/2017
Final Q&A View

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-...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2014_1628 | Topic : Securitisation and Covered Bonds | Date of submission: 19/11/2014
Final Q&A View

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 n...

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
Final Q&A View

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 Fo...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2015_2508 | Topic : Securitisation and Covered Bonds | Date of submission: 08/12/2015
Final Q&A View

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 securitis...

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
Final Q&A View

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...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2014_1139 | Topic : Securitisation and Covered Bonds | Date of submission: 05/05/2014
Final Q&A View

Asset Encumbrance & Covered Bonds

Are assets in cover pools that are not necessary to fulfil regulatory requirements deemed to be encu...

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
Final Q&A View

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 securi...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2014_1179 | Topic : Securitisation and Covered Bonds | Date of submission: 12/05/2014
Final Q&A View

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
Final Q&A View

Risk Retention

Can the retention requirements under Article 405 of Regulation (EU) No 575/2013 (CRR) be satisfie...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2013_265 | Topic : Securitisation and Covered Bonds | Date of submission: 19/09/2013
Final Q&A View

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 protect...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2013_53 | Topic : Securitisation and Covered Bonds | Date of submission: 10/07/2013
Final Q&A View

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 pr...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2013_42 | Topic : Securitisation and Covered Bonds | Date of submission: 08/07/2013
Final Q&A View

Fannie Mae et Freddie Mac exposures – regulatory treatment

How securities issued by american agencies (Fannie Mae / Freddie Mac) with no credit risk transf...

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
ID: 2019_4696 | Topic : Securitisation and Covered Bonds | Date of submission: 06/05/2019
Rejected question View
Showing 19 results.
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