Title I – Scope of application and general principles

Scope of application

These Guidelines apply to:

• a. originator institutions subject to Article 243 and 244 of Regulation (EU) No 575/2013.
• b. competent authorities;

Originator institutions should apply (i) the general requirements set out in these Guidelines for all transactions claiming significant risk transfer (‘SRT’) under Article 243 or 244 of Regulation (EU) No 575/2013 and (ii) the specific requirements set out in these Guidelines to achieve SRT to third parties, in accordance with Article 243(4) or 244(4) of Regulation (EU) No 575/2013.

Competent authorities should apply these Guidelines in the following situations:

• a. when identifying those securitisation transactions where the credit risk is not considered to have been transferred even though these transactions are meeting either of the conditions under Articles 243(2) or 244(2) of Regulation (EU) No 575/2013;
• b. when assessing an originator institution’s compliance with the general requirements of the Guidelines for all transactions claiming SRT under Article 243 or 244 of Regulation (EU) No 575/213;
• c. when assessing an originator institution’s compliance with the requirements under Articles 243(4) and 244(4) of Regulation (EU) No 575/2013.

In addition to the data to be provided to the EBA in accordance with Articles 243(6) and 244(6) of Regulation (EU) No 575/2013, competent authorities should provide data to the EBA, on a yearly basis, on the transactions reviewed under paragraph 3(1) of these Guidelines using the template in Annex 1.

2. General Principles

Fulfilment of the conditions laid down in points (a) or (b) of either of the Articles 243(2) or 244(2) of Regulation (EU) No 575/2013 entitles the originator institution of a traditional securitisation to exclude the respective securitised exposures from the calculation of risk-weighted exposure amounts and, as relevant, expected loss amounts, and entitles the originator institution of a synthetic securitisation to calculate the risk-weighted exposure amounts, and, as relevant, expected loss amounts, for the securitised exposures in accordance with Article 249 of Regulation (EU) No 575/2013, unless the competent authority decides on case-by-case basis that significant credit risk shall not be considered to have been transferred to third parties or any of the conditions according to Articles 243(5) or 244(5) of Regulation (EU) No 575/2013 are not satisfied with regard to this securitisation.

Competent authorities should ensure that procedures exist for the identification of such securitisation transactions which should, notwithstanding compliance with points (a) or (b) of Articles 243(2) or 244(2) of Regulation (EU) No 575/2013, be subject to further review by the competent authority in accordance with Title III of these Guidelines in order to assess whether a commensurate transfer of credit risk to third parties has indeed been achieved by the transaction.

The conditions for achieving SRT to third parties should be satisfied on a continuous basis.

Originator institutions should assess the reliance placed on external credit assessments in their analyses of transactions claiming SRT and the relationship between such external credit assessments and internal credit assessments.