EBA · 2024_7216 Rejected question

Supervisory Factor for Credit Derivatives with underlying securitization for SA-CCR

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
280c, para. 5
Topic
Credit risk
Submitted by
Consultancy firm
Submitted
2024-10-10
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Question

The supervisory factor for the credit risk category add-on is to be assigned based on the rating assigned to the issuer of the underlying credit derivative. For securitisations, should the rating of the SPV issuing the various tranches be used or can the rating of the tranche be used? If the SPV is not rated but the tranches are, should the exposure be considered unrated?

Background

Article 280c states that the supervisory factor shall be reduced to one of the six supervisory factors set out in Table 3 in the Article on the basis of an external credit assessment by a nominated ECAI of the corresponding individual issuer. For securitisation, the rating for the individual tranche is usually provided. Instead, the SPV issuing the securitisation is unrated
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7216

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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