Transaction not structured to provide support

For the purposes of Article 248 of Regulation (EU) No 575/2013, a transaction should be considered as not being structured to provide support in any of the cases referred to in paragraphs 12 and 13, taking into account the provisions of paragraph 19.

Subject to paragraph 25, where the transaction is carried out by a sponsor institution, the transaction should be considered as not being structured to provide support if it meets either of the following conditions:

• (a) it is executed at arm’s length conditions, in accordance with paragraph 15; or
• (b) it is executed on conditions which are more favourable to the sponsor institution than arm’s length conditions.

Where the transaction is carried out by an originator institution which has transferred significant credit risk associated with the underlying exposures of the securitisation in accordance with Article 243 or Article 244 of Regulation (EU) No 575/2013, the transaction should be considered as not being structured to provide support if it meets the following conditions:

• (a) the transaction is executed:
• i. at arm’s length conditions, in accordance with paragraph 15; or
• ii. on conditions which are more favourable to the originator institution than arm’s length conditions; and
• (b) either (i) the securitisation continues to meet the conditions for significant risk transfer as set out in Article 243 of Regulation (EU) No 575/2013 or, as the case may be, Article 244 of the Regulation, in accordance with these guidelines and with guidelines EBA/GL/2014/05 on significant risk transfer, or (ii) if such conditions are no longer met, the transaction was not entered into with a view to reducing potential or actual losses to investors.

If the conditions for significant risk transfer are no longer met, the originator institution should hold own funds against all of the securitised exposures as if they had not been securitised.