In case the significant credit risk cannot be considered to have been transferred according to 244
3 of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2017/2401, but the exposures had been already derecognised from the bank's balance sheet, shall the bank continue to calculate the RWA for the securitised exposures as if they were never securitised? Does it mean that no RWA will be calculated for the securitisation position?
Additionally, if the exposures have been securitised against cash, and the cash invested in new loan, would RWA be calculated for these new loans
The present question refers to the Articles
243 244 and 245 247 of Regulation (EU) No 575/2013 (CRR) as worded before the amendment introduced by Regulation (EU) 2017/2401. Following the entry into force of said Regulation, those provisions have been respectively replaced by Article 244 and Article 247 CRR as amended by Regulation (EU) 2017/2401.
In accordance with Article 247
5(2), second subparagraph of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2017 9/2401 876 an originator institution that has not achieved a significant risk transfer or has decided not to apply Article 247 5(1) CRR needs not to calculate risk-weighted exposure amounts for any positions it may have in the securitisation in question, as they shall continue to calculate RWAs as if the underlying exposures had never been securitised.
It follows that in the above example the originator institution does not need to calculate risk-weighted exposure amounts for the retained securitisation positions (i.e. position (C)) but shall continue to calculate RWA for (A) as if the underlying exposures had never been securitised. However, the 140 cash (i.e. position (B)) do not constitute a securitisation position in the securitisation in question and hence are not subject to the exemption established in the second subparagraph of Article 247
5(2) CRR. Instead any exposure funded by this cash have to be treated as a new/additional exposure(s) and hence the originator institution has to calculate (additional) risk-weighted exposure amounts for any exposure funded by (B).
The economic rationale for the different treatment of position (B) and position (C) is that regarding position (C) no additional losses (in excess of losses related to the securitised exposures) can result whereas position (B) does constitute a new position/exposure(s) in addition to the securitised underlying.
Update 26.03.2021: This Q&A has been updated in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).