EBA · 2013_42 Final Q&A

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

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
129, para. 1
Topic
Securitisation and Covered Bonds
Submitted by
Competent authority
Submitted
2013-07-08
Answered
2013-10-31
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

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)?

Background

Article 129(1)(a) of CRR states that covered bonds can be collateralised, inter alia, by “…exposures to or guaranteed by central governments, central banks, public sector entities, regional governments and local authorities in the Union”. However, the text does not mention that securitisation positions resulting from the securitisation of exposures to the public sector can qualify as covered assets, and a look through approach is not possible in this context. Only securitisation exposures to residential and commercial mortgages are explicitly mentioned in Article 129(1)(d) (ii) and (f) (ii) of CRR, and in each case there are specific criteria that must first be fulfilled for such securitisation exposures to qualify.

Answer

UCITS-compliant covered bonds containing public sector securitisation exposures do not qualify for preferential risk weights under Article 129 of Regulation (EU) No 575/2013 (CRR), as public sector securitisation exposures are not eligible assets under Article 129 (1) of CRR.

Original source: European Banking Authority, Q&A ID 2013_42

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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