Regulatory Alerts2018-06-01
Added · Updated
Commission Delegated Regulation (EU) 2018/1221 amending Delegated Regulation (EU) 2015/35 on regulatory capital requirements for securitisations
The European Commission amends Delegated Regulation (EU) 2015/35 to align the calculation of regulatory capital requirements for securitisations held by insurance and reinsurance undertakings with the EU-wide STS framework. The regulation replaces the previous 'type 1 securitisation' definitions and calibration rules with specific risk factor stress tables for senior and non-senior STS positions based on credit quality steps and modified duration. Transitional provisions allow securitisations issued before 1 January 2019 that qualified as type 1 to retain their previous capital treatment under certain conditions. The regulation enters into force on the twentieth day following publication and applies from 1 January 2019.