Question ID
2021_6201
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Credit risk
Article
224
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
n.a.
Type of submitter
Credit institution
Subject matter
FCCM volatility haircuts for eligible rated and unrated securitisation collateral
Question

Does the FCCM approach apply to unrated senior securitisation tranches that qualify as eligible collateral?  If so, which supervisory volatility haircuts apply since there is no CQS associated with these under Sec-SA?

In addition, the new securtisation mappings of ECAI ratings to CQS 1-17 have not been translated into Table 1 of Article 224, which continues to refer to CQS 1-4 seemingly under the old securitisation rules, which do not reflect maturity and tranche seniority.  Which supervisory volatility haircuts apply under the new CQS mapping for rated securitisation tranches?

Background on the question

With the implementation of the new Securitisation Regulations on 1 January 2019, the definition of eligible collateral (Article 197(1)(h)) expanded to include both ECAI rated securitisation tranches and unrated tranches, so long as RWA is at or below 100% (using Sec-ERBA or Sec-SA).  Prior to 2019, only ECAI rated securitisations with CQS 1-3 qualified as eligible collateral.  While the scope of eligible collateral was amended, the FCCM supervisory volatility haircuts (Table 1 in Article 224) have not been updated to include haircuts  that correspond to the newly eligible unrated securitisations that under Sec-SA attract a risk weight of 100% of lower.

Furthermore, the amended and expanded securitisation CQS ratings, which use a scale of 1-17, have not been translated into Table 1 of Article 224, which continues to refer to CQS 1-4, and does not introduce maturity or seniority into the determination of appropriate haircuts that institutions should apply to these securities.

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 Article 224(6) of Regulation (EU) No 575/2013 (CRR). 

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