EBA · 2025_7302 Rejected question

Treatment of feature of tranching for mortgage backed securities

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
325N, para. 4
Topic
Market risk
Submitted by
Other
Submitted
2025-01-15
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Question

With regards to agencies pools and TBAs, since these are not really tranche product because they are backed by the US government, should they be considered more like a non securitized product rather than securitized product under the SBA?

Background

Under the US NPR,  the Fed has indicated that because the credit risk is to the agency and not the pool, the tranching doesn't count for CSR purposes, and thus the proper risk class to calculate is CSR_NS (not CSR_SNC). Under the CRR, speicifcally for securitisation, there is no distinction between agency and non-agency mortgages in the EBA's treatment.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2025_7302

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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