Deviations between the definition of SA exposure value for securitisation exposures and for other exposure classes

Name: Deviations between the definition of SA exposure value for securitisation exposures and for other exposure classes: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Question

The exposure value for all other exposure classes corresponds to the accounting value after SCRA, Prudent Valuation and other own funds reductions that relate to the asset item (Article 111(1) Regulation (EU) No 575/2013). The exposure value for securitisation exposures corresponds to the accounting value after SCRA based on article 110 CRR, without taking into account Prudent Valuation or other own funds reductions related to the asset item. Is this deviation intended?

European Banking Authority · Accepted Answer

Article 246(1) of Regulation (EU) 575/2013 (CRR) requires the deduction of specific credit risk adjustments in accordance with Article 110, but does not permit any additional value adjustments or other own funds reductions from the accounting value to determine the exposure value for securitisations or re-securitisation positions under the standardised approach.   DISCLAIMER: This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General Financial Stability, Financial Services and Capital Markets Union) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.

Deviations between the definition of SA exposure value for securitisation exposures and for other exposure classes

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