3. EBA Guidelines on significant risk transfer for securitisation transactions

This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (‘ the EBA Regulation’ ). In accordance with Article 16(3) of the EBA Regulation, competent authorities and financial institutions must make every effort to comply with the guidelines.

Guidelines set out the EBA’s view of appropriate supervisory practices within the European System of Financial Supervision or of how Union law should be applied in a particular area. The EBA therefore expects all competent authorities and financial institutions to whom guidelines are addressed to comply with these guidelines. Competent authorities to whom guidelines apply should comply by incorporating them into their supervisory practices as appropriate (e.g. by amending their legal framework or their supervisory processes), including where guidelines are directed primarily at institutions.

In accordance with Article 16(3) of the EBA Regulation, competent authorities must notify the EBA as to whether they already comply or intend to comply with these Guidelines, or notify the EBA of their reasons for non-compliance, by 07.09.2014. If no notification is received by this deadline, the EBA will consider competent authorities to be non-compliant. Notifications should be submitted by sending the form provided in Section 5 to compliance@eba.europa.eu quoting the reference ‘EBA/GL/2014/05’. Notifications should be submitted by persons with appropriate authority to report compliance on behalf of their competent authorities.

Notifications will be published on the EBA website, in line with Article 16(3) of the EBA Regulation.

Title I – Scope of application and general principles

3. Criteria to determine when competent authorities should conduct a comprehensive review of SRT in case of application of Article 243(2) or Article 244(2) of Regulation (EU) 575/2013

Title III - Requirements for competent authorities in case of application of Article 243 (4) or Article 244 (4) of Regulation (EU) No 575/2013 and in case of application of Article 243(2) or Article 244(2) of Regulation (EU) No 575/2013 where any of the circumstances in accordance with Title II applies

Part 1 - General requirements for all transactions claiming SRT under Article 243 and 244 of Regulation (EU) No 575/2013

11. Requirements relating to SRT

National competent authorities should implement these Guidelines by incorporating them in their supervisory procedures within six months of adoption. Thereafter, national competent authorities should ensure that institutions fully comply with these Guidelines for all transactions entered into after the adoption of these Guidelines.

Name of the Competent Authority Transaction X

NSA asse s sment date: DD/MM/YYYY NSA review outcome :

Reference Currency ("Ccy"): Deal Notional (in Ccy): mm RWA Pre Securitisation (in Ccy): mm Pre Securitisation Capital Deductions (in Ccy): mm RWA Equivalent of Pre Sec Capital Deduc (in Ccy): = Pre Securitisation Capital Deductions (in Ccy) / 8% Total RWA Equiv Pre Securitisation (in Ccy): = RWA Equivalent of Pre Sec Capital Deduc (in Ccy) +

RWA Reduction Sought After (in Ccy): = Total RWA Equiv Pre Securitisation (in Ccy) - Total

First Loss Tranche (in Ccy): mm First Loss Tranche (in %): % First Loss Tranche Retained?: % First Loss Tranche Retained: % Mezzanine Tranche (in Ccy): mm Mezzanine Tranche (in %): % Mezzanine Tranche Retained?: % Mezzanine Tranche Retained: % Senior Tranche (in Ccy): mm Senior Tranche (in %): % Senior Tranche Retained?: % Senior Tranche Retained: % Attachment Point of Risk Sold (%) : % Detachment Point of Risk Sold (%) : % Reference Portfolio Size (in Ccy) : mm EL (in Ccy): mm EL (in %): = EL / Reference Portfolio Size EL+UL (in Ccy): mm EL+UL (in %): = (EL+UL) / Reference Portfolio Size Risk Transfer Claimed by Originator Institution (%): %