- Question ID
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2023_6957
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Securitisation and Covered Bonds
- Article
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243
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
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Not applicable
- Type of submitter
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Credit institution
- Subject matter
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Simple Transparent and Standardised securitisation
- Question
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How does the value-weighted average referred in Article 243.2.b)i) of CRR should be calculated?
Should we:
Option A: calculate first a “Loan to Value” average and then map it to the applicable value-weighted average according to CRR or;
Option B: calculate a risk weighted average calculated from each exposure multiplied by its corresponding risk weight divided by the sum of the total exposure value?
- Background on the question
-
Positions in a securitisation, other than an ABCP programme or ABCP transaction, that qualify as positions in an STS securitisation, shall be eligible for the treatment set out in Articles 260, 262 and 264 of the Regulation 575/2013 of 26 June 2013 on prudential requirements for credit institutions and investment firms, as amended or superseded from time to time, (hereinafter “CRR”), where certain requirements set in Article 243(2) CRR are met.
One of those requirements, establishes that at the time of the inclusion of the referred positions in the securitisation, the underlying exposures meet the conditions for being assigned, under the Standardised Approach and taking into account any eligible credit risk mitigation, a risk weight equal to or smaller than: (i) 40 % on an exposure value-weighted average basis for the portfolio where the exposures are loans secured by residential mortgages or fully guaranteed residential loans, as referred to in point (e) of Article 129(1) CRR.
- Submission date
- Status
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Question under review
- Answer prepared by
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Answer prepared by the EBA.