EBA · 2023_6702 Rejected question

Leverage - Traditional securitisations under article 244 (recognition of significant risk transfer) that should be included within the scope of article 429a paragraph 1 point m

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
429a, para. 1
Topic
Leverage ratio
Submitted by
Credit institution
Submitted
2023-01-30
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Question

Under Article 429a §1-m of CRR2, institutions may exclude from their total exposure measure the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer (SRT), as per article 244(2).  May institutions also exclude from their total exposure measure the securitised exposures from traditional securitisations that are referred to in article 244-1-b) i.e. the securitisations under the 'full deduction' option where the originator institutions apply a risk weight of 1 250% to all retained securitisation positions or where these retained securitisation positions are deducted from Common Equity Tier 1 items in accordance with Article 36(1)(k) of the CRR ?

Background

The securitisations that fall within the scope of the 'full deduction' option are not 'SRT' transactions in the sense of the SRT framework and guidelines. However, the securitised exposures corresponding to these securitisations are also excluded from the calculation of risk-weighted exposure amounts since the retained tranches are 1250% risk weighted or deducted from CET1.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6702

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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