EBA · 2013_68 Rejected question

Impact of the significant risk transfer on the own funds requirement against specific risk in case of synthetic securitisations in the trading book

Name: Impact of the significant risk transfer on the own funds requirement against specific risk in case of synthetic securitisations in the trading book: EBA Q&A — EU Financial Regulatory Q&A
Creator: European Banking Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Regulation (EU) No 575/2013 (CRR)
Article: 337, para. 5
Topic: Securitisation and Covered Bonds
Submitted by: Competent authority
Submitted: 2013-07-18

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Question

May an originator institution of a synthetic securitisation where the securitised exposures are held in the institution’s trading book and the conditions for significant risk transfer in Article 244 are met exclude the securitised exposures and instead only include the securitisation positions resulting from the credit protection obtained in the calculation of its own funds requirement against specific risk?

Background

As Article 337(5) subparagraph 2 only refers to the case where an originator institution does not meet the conditions for significant risk transfer in Article 244 the question arises whether fulfilment of the conditions for significant risk transfer in Article 244 by an originator institution of a synthetic securitisation has any impact on the calculation of the originator institution’s own funds requirement for specific risk.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2013_68

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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