Title II- Criteria for competent authorities in case of application of Article 243(2) or Article 244(2) of Regulation (EU) No 575/2013

With regard to those securitisation transactions meeting the conditions for achieving SRT in accordance with points (a) or (b) of Article 243(2) or Article 244(2) of Regulation (EU) No 575/2013, competent authorities should conduct a comprehensive review of SRT in accordance with Title III, paragraphs 4 to 10 of these Guidelines, where any of the following circumstances contained in the non-exhaustive list below applies:

• a. Particular information indicates that the thickness of a securitisation’s tranches which are used as relevant tranches to demonstrate SRT under Articles 243(2) or 244(2) of the Regulation (EU) No 575/2013 may not be sufficient to assume a commensurate SRT to third parties with regard to (i) the special credit risk profile and (ii) the corresponding risk-weighted exposure amounts of the securitised exposures of this securitisation.
• b. Doubts regarding the appropriateness of a particular credit assessment of an ECAI.
• c. Losses incurred on the securitised exposures in previous periods or other information indicate that:
• i. An institution’s reasoned estimate of the expected loss on the securitised exposures until the maturity of the transaction in accordance with point (b) of Articles 243(2) or 244(2) of Regulation (EU) No 575/2013 may be too low to consider significant credit risk as having been transferred to third parties. The total maturity of the transaction should be taken into account, including the potential existence of excess spread.
• ii. The margin by which the securitisation positions that would be subject to deduction from Common Equity Tier 1 or a 1 250% risk weight exceed the reasoned estimate of the expected loss until the maturity of the transaction may be too low to consider significant credit risk as having been transferred to third parties.
• d. The high costs incurred by the originator institution to transfer credit risk to third parties through a particular securitisation indicate that the SRT formally achieved under points (a) or (b) of either of the Articles 243(2) or 244(2) of Regulation (EU) No 575/2013 may actually be undermined by the high cost of this transfer of credit risk.
• e. An originator institution intends to demonstrate the SRT to third parties in accordance with points (a) or (b) of either of the Articles 243(2) or 244(2) of Regulation (EU) No 575/2013 in the absence of an ECAI rating for the relevant tranches.
• f. Securitisation transactions of trading book portfolios.
• g. Securitisation transactions with call and put options other than those options considered not to hinder effective transfer of credit risk in accordance with paragraphs 5(2), 5(3) and 5(4) of these Guidelines.