Question ID
2025_7302
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
325N
Paragraph
4
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 1423/2013 - ITS on disclosure of own funds requirements
Article/Paragraph
N/A
Name of institution / submitter
Bloomberg LP
Country of incorporation / residence
USA
Type of submitter
Other
Subject matter
Treatment of feature of tranching for mortgage backed securities
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 on the question

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.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Regulation (EU) No 575/2013 (Capital Requirements Regulation) as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts. For further information on the purpose of this tool and on how to submit questions, please see "Additional background and guidance for asking questions".

Status
Rejected question