AI Summary of Article 269a Treatment of non-performing exposures (NPE) securitisations
This Article provides the framework for Non-Performing Exposure (NPE) securitisation, defining terms integral to the regulatory process. A qualifying traditional NPE securitisation must demonstrate a non-refundable purchase price discount of at least 50% from the outstanding amount at the point of transfer to a Special Purpose Entity (SSPE).
Risk weights for securitisation positions are primarily set at a minimum of 100%, with specific provisions for senior positions in qualifying traditional NPE securitisations. Institutions employing the Internal Ratings-Based (IRB) Approach must exclude certain methodologies when calculating risk-weighted exposures and must accurately assess non-refundable purchase price discounts, factoring in realised losses throughout the transaction's lifespan.
Article 269a Treatment of non-performing exposures (NPE) securitisations
1. For the purposes of this Article:
(a) "NPE securitisation" means an NPE securitisation as defined in point (25) of Article 2 of Regulation (EU) 2017/2402;
(b) "qualifying traditional NPE securitisation" means a traditional NPE securitisation where the non-refundable purchase price discount is at least 50 % of the outstanding amount of the underlying exposures at the time they were transferred to the SSPE.
2. The risk weight for a position in an NPE securitisation shall be calculated in accordance with Article 254 or 267. The risk weight shall be subject to a floor of 100 %, except when Article 263 is applied.
3. By way of derogation from paragraph 2 of this Article, institutions shall assign a risk weight of 100 % to the senior securitisation position in a qualifying traditional NPE securitisation, except when Article 263 is applied.