Circular NBB_2012_02 – 10 May 2012

Prudential Policy and Financial Stability
14 Boulevard de Berlaimont – BE-1000 Brussels
Tel. +32 2 221 38 12 – Fax +32 2 221 31 04
Enterprise number: 0203.201.340
RPM Brussels www.bnb.be

Circular

Brussels, 10 May 2012

Exposures to Transferred Credit Risk

Reference: NBB_2012_02
Page(s): 2

Your correspondent:
Marc Peters
Tel. +32 2 221 39 96 – Fax +32 2 221 31 04 marc.peters@nbb.be

Scope

This circular is addressed to credit institutions and investment firms authorized as brokerage companies.

Summary/Objectives

To transpose the guidelines of the CEBS (EBA) of 31 December 2010 entitled "Guidelines to Article 122a of the Capital Requirements Directive" and to provide the necessary clarifications for the implementation of Article VII.35 of the regulation of the National Bank of Belgium of 15 November 2011 relating to the own funds of credit institutions and investment firms.

Madam, Sir,

On 31 December 2010, the Committee of European Banking Supervisors (CEBS) 1 published guidelines relating to Article 122bis of European Directive 2009/111/EC concerning retention requirements and appropriate due diligence regarding securitization transactions.

This article was transposed into Belgian law by Article VII.35 of the regulation relating to own funds.

In the context of its communication NBB_2011_03 of 4 July 2011, the Bank had already recalled that these guidelines constituted a useful reference for the implementation and application of Article VII.35. That communication also recalled the main provisions of Article VII.35.

1 The CEBS became the European Banking Authority (EBA) as of 1 January 2011.

This circular aims to transpose said guidelines within the Belgian prudential framework. It follows a structure comparable to that of the CEBS guidelines, presenting the provisions of Article VII.35 one by one to clarify their scope. The clarifications provided by the circular are included in italics in the text.

It specifies in particular the definition of certain terms used in Article VII.35, the modalities for applying the provisions of said article, especially in the context of a group of credit institutions and within the trading book, as well as the implementation of the different retention modes authorized by Article VII.35.

The Bank will rely on the principles set out in this circular to assess compliance with the provisions of Article VII.35 regarding retention and appropriate due diligence for (re)securitization operations.

The Bank expects the administrative bodies of each institution to ensure the implementation of an adequate risk management system, requiring a set of effective integrated measures, adapted to the organization and functioning of the institution and compliant with the principle of sound and prudent management. In this context, institutions will take the necessary measures to comply with the principles of this circular.

A copy of this is transmitted to the auditor(s), approved auditor(s) of your institution.

We ask you to accept, Madam, Sir, the expression of our distinguished consideration.

Françoise Masai
Vice-Governor

Appendix: NBB_2012_02-1 / Exposures to Transferred Credit Risk as referred to in Article VII.35 of the regulation of the National Bank of Belgium of 15 November 2011 relating to the own funds of credit institutions and investment firms