F1ANNEX IXSECURITISATION
F1PART 1Definitions for the purposes of Annex IX
F11.For the purposes of this Annex:
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F1PART 2Minimum requirements for recognition of significant credit risk transfer and calculation of risk-weighted exposure amounts and expected loss amounts for securitised exposures
F11.MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A TRADITIONAL SECURITISATION
F11.The originator credit institution of a traditional securitisation may exclude securitised exposures from the calculation of risk-weighted exposure amounts and expected loss amounts if either of the following conditions is fulfilled:
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F11a.Unless the competent authority decides in a specific instance that the possible reduction in risk weighted exposure amounts which the originator credit institution would achieve by this securitisation is not justified by a commensurate transfer of credit risk to third parties, significant credit risk shall be considered to have been transferred in the following cases:
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F11b.For the purposes of point 1a, mezzanine securitisation positions mean securitisation positions to which a risk weight lower than 1 250 % applies and that are more junior than the most senior position in this securitisation and more junior than any securitisation position in this securitisation to which:
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F11c.
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F11d.In addition to points 1 to 1c, all the following conditions shall be met:
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F12.MINIMUM REQUIREMENTS FOR RECOGNITION OF SIGNIFICANT CREDIT RISK TRANSFER IN A SYNTHETIC SECURITISATION
F12.An originator credit institution of a synthetic securitisation may calculate risk-weighted exposure amounts, and, as relevant, expected loss amounts, for the securitised exposures in accordance with points 3 and 4, if either of the following is met:
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F12a.Unless the competent authority decides on a case- by-case basis that the possible reduction in risk weighted exposure amounts which the originator credit institution would achieve by this securitisation is not justified by a commensurate transfer of credit risk to third parties, significant credit risk shall be considered to have been transferred if either of the following conditions is met:
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F12b.For the purposes of point 2a, mezzanine securitisation positions means securitisation positions to which a risk weight lower than 1 250 % applies and that are more junior than the most senior position in this securitisation and more junior than any securitisation positions in this securitisation to which:
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F12c.
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F12d.In addition, the transfer shall comply with the following conditions:
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F13.ORIGINATOR CREDIT INSTITUTIONS' CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS FOR EXPOSURES SECURITISED IN A SYNTHETIC SECURITISATION
F13.
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F14.
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F13.1.Treatment of maturity mismatches in synthetic securitisations
F15.
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F16.
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F17.An originator credit institution shall ignore any maturity mismatch in calculating risk-weighted exposure amounts for tranches appearing pursuant to Part 4 with a risk weighting of 1 250 %. For all other tranches, the maturity mismatch treatment set out in Annex VIII shall be applied in accordance with the following formula:
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F1PART 3External credit assessments
F11.REQUIREMENTS TO BE MET BY THE CREDIT ASSESSMENTS OF ECAIS
F11.To be used for the purposes of calculating risk-weighted exposure amounts under Part 4, a credit assessment of an eligible ECAI shall comply with the following conditions.
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F12.USE OF CREDIT ASSESSMENTS
F12.
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F13.
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F14.
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F15.
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F16.
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F17.
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F17a.
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F13.MAPPING
F18.
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F19.
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F1PART 4Calculation
F11.CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS
F11.
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F12.Subject to point 3:
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F13.
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F14.
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F15.Where a credit institution has two or more overlapping positions in a securitisation, it will be required to the extent that they overlap to include in its calculation of risk-weighted exposure amounts only the position or portion of a position producing the higher risk-weighted exposure amounts. The credit institution may also recognise such overlap between specific risk capital charges for positions in the trading book and capital charges for positions in the banking book, provided that the credit institution is able to calculate and compare the capital charges for the relevant positions. For the purpose of this point ‘overlapping’ occurs when the positions, wholly or partially, represent an exposure to the same risk such that the extent of the overlap there is a single exposure.
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F12.CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE STANDARDISED APPROACH
F16.Subject to point 8, the risk-weighted exposure amount of a rated securitisation or re-securitisation position shall be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated by the competent authorities in accordance with Article 98 as laid down in Table 1.
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F17.
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F12.1.Originator and sponsor credit institutions
F18.
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F12.2.Treatment of unrated positions
F19.
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F110.
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F12.3.Treatment of securitisation positions in a second loss tranche or better in an ABCP programme
F111.
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F112.For the treatment set out in point 11 to be available, the securitisation position shall be:
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F12.4.Treatment of unrated liquidity facilities
F12.4.1.Eligible liquidity facilities
F113.When the following conditions are met, to determine its exposure value a conversion figure of 50 % may be applied to the nominal amount of a liquidity facility:
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F12.4.2.Liquidity facilities that may be drawn only in the event of a general market disruption
F114.
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F12.4.3.Cash advance facilities
F115.
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F12.5.Additional capital requirements for securitisations of revolving exposures with early amortisation provisions
F116.
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F117.
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F118.
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F119.For the purposes of point 16 to 31, ‘originator's interest’ means the exposure value of that notional Part of a pool of drawn amounts sold into a securitisation, the proportion of which in relation to the amount of the total pool sold into the structure determines the proportion of the cash flows generated by principal and interest collections and other associated amounts which are not available to make payments to those having securitisation positions in the securitisation.
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F120.
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F12.5.1.Exemptions from early amortisation treatment
F121.Originators of the following types of securitisation are exempt from the capital requirement in point 16:
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F12.5.2.Maximum capital requirement
F122.For an originator credit institution subject to the capital requirement in point 16 the total of the risk-weighted exposure amounts in respect of its positions in the investors' interest and the risk-weighted exposure amounts calculated under point 16 shall be no greater than the greater of:
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F123.
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F12.5.3.Calculation of risk-weighted exposure amounts
F124.
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F125.An early amortisation provision shall be considered to be ‘controlled’ where the following conditions are met:
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F126.
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F127.
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F128.The conversion figure to be applied shall be determined by the level of the actual three month average excess spread in accordance with Table 3.
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F129.
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F130.
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F131.
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F132.
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F133.
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F12.6.Recognition of credit risk mitigation on securitisation positions
F134.
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F12.7.Reduction in risk-weighted exposure amounts
F135.
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F136.
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F13.CALCULATION OF RISK-WEIGHTED EXPOSURE AMOUNTS UNDER THE INTERNAL RATINGS BASED APPROACH
F13.1.Hierarchy of methods
F137.
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F138.
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F139.
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F140.
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F141.
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F13.1.1.Use of inferred ratings
F142.When the following minimum operational requirements are satisfied, an institution shall attribute to an unrated position an inferred credit assessment equivalent to the credit assessment of those rated positions (the ‘reference positions’) which are the most senior positions which are in all respects subordinate to the unrated securitisation position in question:
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F13.1.2.The ‘Internal Assessment Approach’ for positions in ABCP programmes
F143.Subject to the approval of the competent authorities, when the following conditions are satisfied a credit institution may attribute to an unrated position in an ABCP programme a derived rating as laid down in point 44:
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F144.
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F13.2.Maximum risk-weighted exposure amounts
F145.
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F13.3.Ratings Based Method
F146.Under the Ratings Based Method, the risk-weighted exposure amount of a rated securitisation or re-securitisation position shall be calculated by applying to the exposure value the risk weight associated with the credit quality step with which the credit assessment has been determined to be associated by the competent authorities in accordance with Article 98, as set out in the Table 4, multiplied by 1,06.
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F147.
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F148.A risk weight of 6 % may be applied to a position in the most senior tranche of a securitisation where that tranche is senior in all respects to another tranche of the securitisation positions which would receive a risk weight of 7 % under point 46, provided that:
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F149.In calculating the effective number of exposures securitised multiple exposures to one obligor shall be treated as one exposure. The effective number of exposures is calculated as:
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F150.
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F151.
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F13.4.Supervisory Formula Method
F152.
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F153.Subject to points 58 and 59, the risk weight to be applied to the exposure amount shall be:
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F154.
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F13.5.Liquidity Facilities
F155.
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F13.5.1.Liquidity Facilities Only Available in the Event of General Market Disruption
F156.
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F13.5.2.Cash advance facilities
F157.
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F13.5.3.Exceptional treatment where Kirb cannot be calculated.
F158.
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F159.
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F13.6.Recognition of credit risk mitigation in respect of securitisation positions
F13.6.1.Funded credit protection
F160.
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F13.6.2.Unfunded credit protection
F161.
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F13.6.3.Calculation of capital requirements for securitisation positions with credit risk mitigation
Ratings Based Method
F162.
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Supervisory Formula Method — full credit protection
F163.
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F164.
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F165.
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Supervisory formula method — partial protection
F166.
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F167.
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F13.7.Additional capital requirements for securitisations of revolving exposures with early amortisation provisions
F168.
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F169.
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F170.For the purposes of these provisions, ‘originators interest’ shall be the sum of:
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F171.
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F13.8.Reduction in risk-weighted exposure amounts
F172.
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F173.
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F174.
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F175.For the purposes of point 74:
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F176.
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Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).