Article 1, Point (2) · Regulation (EU) 2021/558

Contents

(2)Article 248 is amended as follows:

(a)in paragraph 1, the following point is added:

(e)the exposure value of a synthetic excess spread shall include, as applicable, the following:

(i)any income from the securitised exposures already recognised by the originator institution in its income statement under the applicable accounting framework that the originator institution has contractually designated to the transaction as synthetic excess spread and that is still available to absorb losses;

(ii)any synthetic excess spread that is contractually designated by the originator institution in any previous periods and that is still available to absorb losses;

(iii)any synthetic excess spread that is contractually designated by the originator institution for the current period and that is still available to absorb losses;

(iv)any synthetic excess spread contractually designated by the originator institution for future periods.

For the purposes of this point, any amount that is provided as collateral or credit enhancement in relation to the synthetic securitisation and that is already subject to an own funds requirement in accordance with this Chapter shall not be included in the exposure value.’;

(b)the following paragraph is added:‘4.EBA shall develop draft regulatory technical standards to specify how originator institutions are to determine the exposure value referred to in point (e) of paragraph 1, taking into account the relevant losses expected to be covered by the synthetic excess spread.EBA shall submit those draft regulatory technical standards to the Commission by 10 October 2021.Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.’;