Single Rulebook Q&A

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Eligibility as collateral where securitisation positions are issued by an SSPE belonging to the same group

What group entities are considered as “related” to the obligor for the purpose of the second sub...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2014_1628 | Topic : Securitisation and Covered Bonds | Date of submission: 19/11/2014
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Distribution by an originator to its shareholders of a participation instrument the pay out of which is directly linked to the net cash flows under the net economic interest retained

Would a credit institution acting as originator in relation to a securitisation and holding the...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures
ID: 2016_2878 | Topic : Securitisation and Covered Bonds | Date of submission: 25/08/2016
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Calculation of ELGD under the Supervisory Formula Method in case of a re-securitisation

In case of a re-securitisation, in order to calculate the value for ELGD under the Supervisory F...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_2508 | Topic : Securitisation and Covered Bonds | Date of submission: 08/12/2015
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Consideration of securitisation positions and securitised exposures, for the purpose of significant risk transfer.

If the originator institution of a synthetic securitisation retains a vertical slice of securiti...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Regulation (EU) No 625/2014 - RTS on requirements for investor, sponsor, original lenders and originator institutions of transferred credit risk exposures
ID: 2015_2472 | Topic : Securitisation and Covered Bonds | Date of submission: 18/11/2015
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Inferred ratings for unrated IRBA market value hedging transactions (e.g. interest rate / cross currency swaps)

For the purposes of using inferred ratings, is it allowed to use a specific treatment when inferring...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2014_1139 | Topic : Securitisation and Covered Bonds | Date of submission: 05/05/2014
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Asset Encumbrance & Covered Bonds

Are assets in cover pools that are not necessary to fulfil regulatory requirements deemed to be encu...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
ID: 2015_1817 | Topic : Securitisation and Covered Bonds | Date of submission: 11/02/2015
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Scaling factor for IRBA securitisations with 1250% risk weight under the Ratings Based Method

Does an institution have to multiply the risk-weighted exposure amount of a banking book IRBA securi...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2014_1179 | Topic : Securitisation and Covered Bonds | Date of submission: 12/05/2014
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Exemption of purchased receivables from Aricle 405's retention requirement

Do the provisions in Article 405(1) of Regulation (EU) No 575/2013 apply to purchased receivables?...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2014_1474 | Topic : Securitisation and Covered Bonds | Date of submission: 12/09/2014
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Risk Retention

Can the retention requirements under Article 405 of Regulation (EU) No 575/2013 (CRR) be satisfi...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2013_265 | Topic : Securitisation and Covered Bonds | Date of submission: 19/09/2013
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Applicability of the re-securitisation definition to securitisation positions being subject to tranched credit protection according to Article 264(1) of Regulation (EU) No 575/2013 (CRR)

Do the portions of a securitisation position covered and uncovered by senior unfunded credit protect...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2013_53 | Topic : Securitisation and Covered Bonds | Date of submission: 10/07/2013
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Preferential risk weight of covered bonds containing securitisation positions of sovereign exposures as cover pool assets

Would UCITS compliant covered bonds containing public sector securitisation exposures qualify for pr...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2013_42 | Topic : Securitisation and Covered Bonds | Date of submission: 08/07/2013
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