- Question ID
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2017_3143
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Securitisation and Covered Bonds
- Article
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268
- Paragraph
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n/a
- Subparagraph
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n/a
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
n/a
- Type of submitter
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Competent authority
- Subject matter
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Calculation of the maximum risk weighted exposure amount (RWEA) for securitisation positions in accordance with Article 260 CRR [prior to Regulation 2017/2401]
- Question
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How shall specific credit risk adjustments made on securitised defaulted exposures treated in accordance with Article 110 CRR be recognised in the calculation of the maximum RWEA in accordance with Article 260 CRR [prior to Regulation 2017/2401]?
- Background on the question
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Article 159 CRR indicates that, for non-securitised exposures, expected loss (EL) amount for certain exposure classes shall be subtracted from the general and specific adjustments on exposures, which may lead to either an excess (treated in accordance with Article 62(d) CRR) or a shortfall (treated in accordance with Article 36(1)(d) CRR) of credit risk adjustments over EL amounts. Specifically for defaulted exposures, prior to the securitisation, the amount of specific credit risk adjustments is usually significant, and may exceed the amount of EL from the securitised defaulted exposures. However Article 159 CRR (last sentence) excludes specifically EL amounts for securitised exposures and general and specific credit adjustments related to these exposures from the calculation of the shortfall or excess of adjustments over EL. Institutions which can determine Kirb may apply Article 260 CRR [prior to Regulation 2017/2401] to determine the maximum RWEA on the securitisation positions they retained. The maximum RWEA is equal to the sum of: 1) the RWEA on the securitised exposures if not securitised; and 2) the EL amount on the securitised exposures if not securitised, multiplied by 1250%. Article 260 CRR does not explicitly refer to specific provisions made on the securitised exposures.
[NB. This question had been submitted prior to Regulation 2017/2401 and the references to Article 260 need to be read in the context of the amendments introduced by this Regulation to Chapter 5 CRR as referring most closely to Article 268]
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.
If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.
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- Status
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Rejected question