Article 506e Recognition of capped or floored unfunded credit protection

By 10 July 2026, EBA shall submit a report to the Commission on the following:

the conditions that guarantees featuring caps or floors determined at the level of a portfolio of exposures (‘portfolio guarantees’) need to meet to qualify as a securitisation;

the regulatory treatment applicable under Part Three, Title II, Chapter 4, to portfolio guarantees where those do not qualify as a securitisation;

the application of the requirements set out in Part Three, Title II, Chapter 5, of this Regulation and in Chapter 2 of Regulation (EU) 2017/2402 for portfolio guarantees where those guarantees qualify as a securitisation;

the application of Article 234 for single guarantees that lead to tranching.

In the report referred to in paragraph 1, EBA shall assess in particular the following:

in relation to paragraph 1, point (a), the conditions under which portfolio guarantees give rise to a tranched transfer of risk;

in relation to paragraph 1, point (b):

the relevant eligibility criteria of portfolio guarantees under Part Three, Title II, Chapter 4;

the application of the requirements set out in Part Three, Title II, Chapter 4;

in relation to paragraph 1, point (d), the application of the requirements set out in Chapter 2 of Regulation (EU) 2017/2402 and in Part Three, Title II, Chapter 5, of this Regulation.

On the basis of that report, the Commission shall, where appropriate, submit to the European Parliament and to the Council a legislative proposal by 31 December 2027.