4. In order to identify such factors that may undermine the transfer of credit risk and SRT to …

In order to identify such factors that may undermine the transfer of credit risk and SRT to third parties, originator institutions should evaluate the degree of credit risk mitigation or credit risk transfer of a transaction considering, amongst others, factors such as the following, to the extent applicable:

• a. A comparison of the present value of premia and other costs not yet recognised in own funds relative to losses of the protected exposures over a variety of stress scenarios;
• b. The pricing of the transaction relative to market prices, including appropriate consideration of premium payments;
• c. The timing of payments under the transaction, including potential timing differences between the originator institutions’ provisioning for or write downs of the protected exposures and payments by the protection seller;
• d. A review of applicable call dates to assess the likely duration of the credit protection obtained relative to the potential timing of future losses on the protected exposures;
• e. An assessment of counterparty credit risk, in particular an analysis of whether certain circumstances could lead to the originator institutions’ increased reliance on the counterparty providing credit protection at the same time that the counterparty's ability to meet its obligations is weakened;
• f. The nature of the link between the different entities involved in the transaction (originator, arranger, investors, protection seller etc);
• g. The existence of implicit forms of credit enhancement;
• h. The thickness of the mezzanine and junior tranches relative to the credit risk profile of the underlying exposures; and
• i. An assessment of the credit risk of the underlying assets: this could be achieved through stresses applied to the underlying assets, an assessment of the payment profile of the exposure to the underlying assets’ credit risk, evaluation of key credit risk factors (i.e. LGD, PD, EAD, etc.).

1. Panoramica

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

3. Standard correlati

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