in force 2019-01-01 MODIFIED+639 −2,727§
Amended by Regulation (EU) 2017/2401 32017R2401 · Regulation (EU) 2019/876 32019R0876
applies from: unchanged
Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it. Both are shown; neither is overruled.
The heading and full text of Article 246 have been replaced: the earlier version set out rules for calculating exposure values of securitisation positions and treatment of overlapping positions and ABCP liquidity facilities, while the later version instead sets out operational requirements for early amortisation provisions in revolving-exposure securitisations.
The later text states that significant credit risk is only considered transferred by the originator institution where the requirements of Articles 244 and 245 are met and the early amortisation provision, once triggered, does not subordinate the institution's senior or pari passu claim, does not further subordinate its claim relative to other parties' claims, and does not otherwise increase the institution's exposure to losses on the underlying revolving exposures.
Cited: Art. 246, v1 · Art. 246, v2
text before / after
texts differ too much for an inline diff; shown separately
before (02013R0575-20180101)
Article 246 Exposure value 1. The exposure value shall be calculated as follows: (a) where an institution calculates risk-weighted exposure amounts under Sub-section 3, the exposure value of an on-balance sheet securitisation position shall be its accounting value remaining after specific credit risk adjustments treated in accordance with Article 110 have been applied; (b) where an institution calculates risk-weighted exposure amounts under Sub-section 4, the exposure value of an on-balance sheet securitisation position shall be the accounting value measured without taking into account any credit risk adjustments treated in accordance with Article 110 made; (c) where an institution calculates risk-weighted exposure amounts under Sub-section 3, the exposure value of an off-balance sheet securitisation position shall be its nominal value, less any specific credit risk adjustment of that securitisation position, multiplied by a conversion factor as prescribed in this Chapter. The conversion factor shall be 100 % unless otherwise specified; (d) where an institution calculates risk-weighted exposure amounts under Sub-section 4, the exposure value of an off-balance sheet securitisation position shall be its nominal value multiplied by a conversion factor as prescribed in this Chapter. The conversion factor shall be 100 % unless otherwise specified; (e) The exposure value for the counterparty credit risk of a derivative instrument listed in Annex II, shall be determined in accordance with Chapter 6. 2. Where an institution has two or more overlapping positions in a securitisation, it shall, to the extent that they overlap 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 institution may also recognise such overlap between specific risk own funds requirements for positions in the trading book and own funds requirements for securitisation positions in the non-trading book, provided that the institution is able to calculate and compare the own funds requirements for the relevant positions. For the purpose of this paragraph, overlapping occurs when the positions, wholly or partially, represent an exposure to the same risk such that, to the extent of the overlap, there is a single exposure. 3. Where Article 268(c) applies to positions in the ABCP, the institution may, use the risk-weight assigned to a liquidity facility in order to calculate the risk-weighted exposure amount for the ABCP provided that 100 % of the ABCP issued by the programme is covered by this or other liquidity facilities and all of those liquidity facilities rank pari passu with the ABCP so that they form overlapping positions. The institution shall notify to the competent authorities the use it makes of that treatment.
after (02013R0575-20190101)
Article 246 Operational requirements for early amortisation provisions Where the securitisation includes revolving exposures and early amortisation provisions or similar provisions, significant credit risk shall only be considered transferred by the originator institution where the requirements laid down in Articles 244 and 245 are met and the early amortisation provision, once triggered, does not: (a) subordinate the institution’s senior or pari passu claim on the underlying exposures to the other investors’ claims; (b) subordinate further the institution’s claim on the underlying exposures relative to other parties’ claims; or (c) otherwise increase the institution’s exposure to losses associated with the underlying revolving exposures.