EBA · 2017_3143 Rejected question

Calculation of the maximum risk weighted exposure amount (RWEA) for securitisation positions in accordance with Article 260 CRR [prior to Regulation 2017/2401]

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
268, para. n/a
Topic
Securitisation and Covered Bonds
Submitted by
Competent authority
Submitted
2017-02-01
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Question

How shall specific credit risk adjustments made on securitised defaulted exposures treated in accordance with Article 110 CRR be recognised in the calculation of the maximum RWEA in accordance with Article 260 CRR [prior to Regulation 2017/2401]?

Background

Article 159 CRR indicates that, for non-securitised exposures, expected loss (EL) amount for certain exposure classes shall be subtracted from the general and specific adjustments on exposures, which may lead to either an excess (treated in accordance with Article 62(d) CRR) or a shortfall (treated in accordance with Article 36(1)(d) CRR) of credit risk adjustments over EL amounts. Specifically for defaulted exposures, prior to the securitisation, the amount of specific credit risk adjustments is usually significant, and may exceed the amount of EL from the securitised defaulted exposures. However Article 159 CRR (last sentence) excludes specifically EL amounts for securitised exposures and general and specific credit adjustments related to these exposures from the calculation of the shortfall or excess of adjustments over EL. Institutions which can determine Kirb may apply Article 260 CRR [prior to Regulation 2017/2401] to determine the maximum RWEA on the securitisation positions they retained. The maximum RWEA is equal to the sum of: 1) the RWEA on the securitised exposures if not securitised; and 2) the EL amount on the securitised exposures if not securitised, multiplied by 1250%. Article 260 CRR does not explicitly refer to specific provisions made on the securitised exposures. [NB. This question had been submitted prior to Regulation 2017/2401 and the references to Article 260 need to be read in the context of the amendments introduced by this Regulation to Chapter 5 CRR as referring most closely to Article 268]
No answer published yet.

Original source: European Banking Authority, Q&A ID 2017_3143

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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Requirements for the usability of an ECAI within the framework of the Internal Assessment Approach pursuant to Article 259(3) of Regulation (EU) No 575/2013 – before amendments introduced by Regulation (EU) No. 2017/2401 - and Article 265 Regulation (EU) No 575/2013 as amended by Regulation (EU) No 2017/2401. - Anforderungen an die Verwendbarkeit einer ECAI im Rahmen des internen Bemessungsansatzes gemäß Artikel 259 Absatz 3 der Verordnung (EU) Nr. 575/2013 – in der Fassung vor den durch die Verordnung (EU) 2017/2401 eingeführten Änderungen – und Artikel 265 der Verordnung (EU) Nr. 575/2013 in der durch die Verordnung (EU) 2017/2401 geänderten Fassung

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