Art. 270 · Senior positions in STS on-balance sheet securitisations

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Previous version, in force 28 December 2020 02013R0575-20201228

Article 270
Senior positions in SME securitisations
An originator institution may calculate the risk-weighted exposure amounts in respect of a securitisation position in accordance with Articles 260, 262 or 264, as applicable, where the following conditions are met:
(a) the securitisation meets the requirements for STS securitisation set out in Chapter 4 of Regulation (EU) 2017/2402 as applicable, other than Article 20(1) to (6) of that Regulation;
(b) the position qualifies as the senior securitisation position;
(c) the securitisation is backed by a pool of exposures to undertakings, provided that at least 70 % of those in terms of portfolio balance qualify as SMEs within the meaning of Article 501 at the time of issuance of the securitisation or in the case of revolving securitisations at the time an exposure is added to the securitisation;
(d) the credit risk associated with the positions not retained by the originator institution is transferred through a guarantee or a counter-guarantee meeting the requirements for unfunded credit protection set out in Chapter 4 for the Standardised Approach to credit risk;
(e) the third party to which the credit risk is transferred is one or more of the following:
(i) the central government or the central bank of a Member State, a multilateral development bank, an international organisation or a promotional entity, provided that the exposures to the guarantor or counter-guarantor qualify for a 0 % risk weight under Chapter 2;
(ii) an institutional investor as defined in point (12) of Article 2 of Regulation (EU) 2017/2402 provided that the guarantee or counter-guarantee is fully collateralised by cash on deposit with the originator institution.

this version, in force 28 June 2021 02013R0575-20210629

Article 270
Senior positions in STS on-balance sheet securitisations
1. An originator institution may calculate the risk-weighted exposure amounts of a securitisation position in an STS on-balance sheet securitisation as referred to in Article 26a(1) of Regulation (EU) 2017/2402 in accordance with Article 260, 262 or 264 of this Regulation, as applicable, where that position meets both of the following conditions:
(a) the securitisation meets the requirements set out in Article 243(2);
(b) the position qualifies as the senior securitisation position.
2. EBA shall monitor the application of paragraph 1 in particular with regard to:
(a) the market volume and market share of STS on-balance sheet securitisations in respect of which the originator institution applies paragraph 1, across different asset classes;
(b) the observed allocation of losses to the senior tranche and to other tranches of STS on-balance sheet securitisations, where the originator institution applies paragraph 1 in respect of the senior position held in such securitisations;
(c) the impact of the application of paragraph 1 on the leverage of institutions;
(d) the impact of the use of STS on-balance sheet securitisations in respect of which the originator institution applies paragraph 1 on the issuance of capital instruments by the respective originator institutions.
3. EBA shall submit a report on its findings to the Commission by 10 April 2023.
4. By 10 October 2023, the Commission shall, on the basis of the report referred to in paragraph 3, submit a report to the European Parliament and to the Council, on the application of this Article with particular regard to the risk of excessive leverage resulting from the use of STS on-balance sheet securitisations qualifying for the treatment in accordance with paragraph 1 and to the potential substitution of the issuance of capital instruments by originator institutions through that use. That report shall, where appropriate, be accompanied by a legislative proposal.