xmlns:atom="http://www.w3.org/2005/Atom" xmlns:atom="http://www.w3.org/2005/Atom"
significant credit risk associated with the securitised exposures is considered to have been transferred to third parties;
the originator credit institution applies a 1 250 % risk weight to all securitisation positions it holds in this securitisation or deducts these securitisation positions from own funds according to Article 57 (r).]
Textual Amendments
the risk-weighted exposure amounts of the mezzanine securitisation positions held by the originator credit institution in this securitisation do not exceed 50 % of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;
where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate that the exposure value of the securitisation positions that would be subject to deduction from own funds or a 1 250 % risk weight exceeds a reasoned estimate of the expected loss on the securitised exposures by a substantial margin, the originator credit institution does not hold more than 20 % of the exposure values of the securitisation positions that would be subject to deduction from own funds or a 1 250 % risk weight.
Textual Amendments
in the case of a securitisation position subject to points 6 to 36 of part 4 a credit quality step 1; or
in the case of a securitisation position subject to points 37 to 76 of part 4 a credit quality step 1 or 2 is assigned under Part 3.
The securitisation documentation reflects the economic substance of the transaction;
The securitised exposures are put beyond the reach of the originator credit institution and its creditors, including in bankruptcy and receivership. This shall be supported by the opinion of qualified legal counsel;
The securities issued do not represent payment obligations of the originator credit institution;
The transferee is a securitisation special-purpose entity (SSPE);
The originator credit institution does not maintain effective or indirect control over the transferred exposures. An originator shall be considered to have maintained effective control over the transferred exposures if it has the right to repurchase from the transferee the previously transferred exposures in order to realise their benefits or if it is obligated to re-assume transferred risk. The originator credit institution's retention of servicing rights or obligations in respect of the exposures shall not of itself constitute indirect control of the exposures;
Where there is a clean-up call option, the following conditions are satisfied:
The clean-up call option is exercisable at the discretion of the originator credit institution;
The clean-up call option may only be exercised when 10 % or less of the original value of the exposures securitised remains unamortised; and
The clean-up call option is not structured to avoid allocating losses to credit enhancement positions or other positions held by investors and is not otherwise structured to provide credit enhancement; and
The securitisation documentation does not contain clauses that
other than in the case of early amortisation provisions, require positions in the securitisation to be improved by the originator credit institution including but not limited to altering the underlying credit exposures or increasing the yield payable to investors in response to a deterioration in the credit quality of the securitised exposures; or
increase the yield payable to holders of positions in the securitisation in response to a deterioration in the credit quality of the underlying pool.
significant credit risk is considered to have been transferred to third parties either through funded or unfunded credit protection;
the originator credit institution applies a 1 250 % risk weight to all securitisation positions he holds in this securitisation or deducts these securitisation positions from own funds according to Article 57 (r).]
the risk-weighted exposure amounts of the mezzanine securitisation positions which are held by the originator credit institution in this securitisation do not exceed 50 % of the risk weighted exposure amounts of all mezzanine securitisation positions existing in this securitisation;
where there are no mezzanine securitisation positions in a given securitisation and the originator can demonstrate that the exposure value of the securitisation positions that would be subject to deduction from own funds or a 1 250 % risk weight exceeds a reasoned estimate of the expected loss on the securitised exposures by a substantial margin, the originator credit institution does not hold more than 20 % of the exposure values of the securitisation positions that would be subject to deduction from own funds or a 1 250 % risk weight.
in the case of a securitisation position subject to points 6 to 36 of part 4 a credit quality step 1; or
in the case of a securitisation position subject to points 37 to 76 of part 4 a credit quality step 1 or 2 is assigned under Part 3.
The securitisation documentation reflects the economic substance of the transaction;
The credit protection by which the credit risk is transferred complies with the eligibility and other requirements under Articles 90 to 93 for the recognition of such credit protection. For the purposes of this point, special purpose entities shall not be recognised as eligible unfunded protection providers;
The instruments used to transfer credit risk do not contain terms or conditions that:
impose significant materiality thresholds below which credit protection is deemed not to be triggered if a credit event occurs;
allow for the termination of the protection due to deterioration of the credit quality of the underlying exposures;
other than in the case of early amortisation provisions, require positions in the securitisation to be improved by the originator credit institution;
increase the credit institutions' cost of credit protection or the yield payable to holders of positions in the securitisation in response to a deterioration in the credit quality of the underlying pool; and
An opinion is obtained from qualified legal counsel confirming the enforceability of the credit protection in all relevant jurisdictions.
Where:
RW* is Risk-weighted exposure amounts for the purposes of Article 75(a) ;
RW(Ass) is Risk-weighted exposure amounts for exposures if they had not been securitised, calculated on a pro-rata basis;
RW(SP) is Risk-weighted exposure amounts calculated under point 3 if there was no maturity mismatch;
T is maturity of the underlying exposures expressed in years;
t is maturity of credit protection. expressed in years; and
t* is 0,25.