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L 302/110

EN

Official Journal of the European Union

17.11.2009

  • 27.

    Article 116 is deleted;

  • 28.

    Article 117 is amended as follows:

For the purpose of this Article, “retention of net economic interest” means:

(a) paragraph 1 is replaced by the following:

‘1.

Where an exposure to a client is guaranteed by a

third party, or secured by collateral issued by a third

party, a credit institution may:

  • (a)

    treat the portion of the exposure which is guaran­ teed as having been incurred to the guarantor rather than to the client provided that the unsecured expo­ sure to the guarantor would be assigned an equal or lower risk weight than a risk weight of the unse­ cured exposure to the client under Articles 78 to 83;

  • (b)

    treat the portion of the exposure collateralised by the market value of recognised collateral as having been incurred to the third party rather than to the client, if the exposure is secured by collateral and provided that the collateralised portion of the expo­ sure would be assigned an equal or lower risk weight than a risk weight of the unsecured exposure to the client under Articles 78 to 83.

The approach referred to in point (b) of the first subpara­ graph shall not be used by a credit institution where there is a mismatch between the maturity of the expo­ sure and the maturity of the protection.

For the purpose of this Section, a credit institution may use both the Financial Collateral Comprehensive Method and the treatment provided for in point (b) of the first subparagraph only where it is permitted to use both the Financial Collateral Comprehensive Method and the Financial Collateral Simple Method for the purposes of Article 75(a).’;

(b) in paragraph 2, the introductory part is replaced by the following:

  • (a)

    retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors;

  • (b)

    in the case of securitisations of revolving exposures, retention of the originator’s interest of no less than 5 % of the nominal value of the securitised exposures;

  • (c)

    retention of randomly selected exposures, equivalent to no less than 5 % of the nominal amount of the securi­ tised exposures, where such exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is no less than 100 at origination; or

  • (d)

    retention of the first loss tranche and, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total no less than 5 % of the nominal value of the securitised

exposures.

Net economic interest is measured at the origination and shall be maintained on an ongoing basis. It shall not be sub­ ject to any credit risk mitigation or any short positions or any other hedge. The net economic interest shall be determined by the notional value for off-balance sheet items.

For the purpose of this Article, “ongoing basis” means that retained positions, interest or exposures are not hedged or sold.

‘2.

Where a credit institution applies paragraph 1(a):’;

29. Article 119 is deleted;

There shall be no multiple applications of the retention requirements for any given securitisation.

30. the following Section is added in Chapter 2:

2.

Where an EU parent credit institution or an EU finan­

‘Section 7 Exposures to transferred credit risk

Article 122a

1.

A credit institution, other than when acting as an origi­

nator, a sponsor or original lender, shall be exposed to the credit risk of a securitisation position in its trading book or non-trading book only if the originator, sponsor or original lender has explicitly disclosed to the credit institution that it will retain, on an ongoing basis, a material net economic

cial holding company, or one of its subsidiaries, as an origi­ nator or a sponsor, securitises exposures from several credit institutions, investment firms or other financial institutions which are included in the scope of supervision on a consoli­ dated basis, the requirement referred to in paragraph 1 may be satisfied on the basis of the consolidated situation of the related EU parent credit institution or EU financial holding company. This paragraph shall apply only where credit insti­ tutions, investment firms or financial institutions which cre­ ated the securitised exposures have committed themselves to adhere to the requirements set out in paragraph 6 and deliver, in a timely manner, to the originator or sponsor and to the EU parent credit institution or an EU financial holding com­ pany the information needed to satisfy the requirements

interest which, in any event, shall not be less than 5 %.

referred to in paragraph 7.

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