EBA · 2018_3849 Rejected question

Application of a currency volatility adjustment in the case of a Significant Credit Risk Transfer securitisation

Name: Application of a currency volatility adjustment in the case of a Significant Credit Risk Transfer securitisation: 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: 264, para. 1
Topic: Securitisation and Covered Bonds
Submitted by: Competent authority
Submitted: 2018-05-11

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Question

Should a currency volatility adjustment – as referenced to in CRR art 264 and defined in CRR art 223 - be applied in the case in which an originator synthetically securitises a partly non-EUR FX-denominated portfolio through the issuance of a EUR denominated fully funded Credit Linked Note?

Background

Please see attached pdf document. The background of the question is elaborate and includes figures (for clarification purposes) that could't be inserted in this textbox.

No answer published yet.

Original source: European Banking Authority, Q&A ID 2018_3849

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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