EBA · 2026_7842 Rejected question

Treatment of a guarantee provided by a supranational institution on a securitisation tranche for RWA calculation purposes

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
249
Topic
Securitisation and Covered Bonds
Submitted by
Individual
Submitted
2026-04-24
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Question

How should an institution reflect, for own funds requirements purposes, an external guarantee provided by a supranational institution (such as the EIF, European Investment Fund) on a securitisation tranche?

Background

There are traditional securitisation transactions where one of the tranches benefits from a guarantee provided by a supranational institution. The EIF guarantee is provided to the securitisation vehicle and is activated in case of a failure to pay interest or principal on the guaranteed tranche. Upon activation, the supranational institution injects cash into the securitisation vehicle for the unpaid amount, which is directly passed through to the bondholders. From a rating perspective, the guaranteed tranche benefits from an upgrade (e.g. from AA pre‑guarantee to AAA post‑guarantee). Under the CRR, securitisation positions must have their risk weights determined using the securitisation approaches (SEC‑IRBA, SEC‑SA or SEC‑ERBA). Unlike standard credit risk exposures, the substitution approach commonly used for credit risk mitigation (where the risk weight of the exposure may be replaced by that of the guarantor) does not explicitly apply to securitisation positions. While Article 249 CRR appears, in principle, to allow the recognition of guarantees on securitisation positions (subject to the fulfilment of all applicable conditions), the Regulation does not specify how such a guarantee should be reflected quantitatively in the calculation of risk‑weighted exposure amounts under the securitisation framework.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2026_7842

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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