Question ID:
2014_1530
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
Topic:
Supervisory reporting - Large Exposures
Article:
Art. 4
Paragraph:
(27)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
ANNEX IX REPORTING ON LARGE EXPOSURES
Disclose name of institution / entity:
No
Type of submitter:
Consultancy firm
Subject Matter:
Definition of Special Purpose Vehicle (SPV) as Financial Institution
Question:

Are Special Purpose Vehicles (SPV) which are used for of Asset Backed Securities (ABS) transactions "Financial Institutions" according to Art. 4 (27) CRR?

If so, shall the Special Purpose Vehicles Reported as the 10 largest exposures on a consolidated basis to unregulated financial entities according to Art. 394 (2) CRR?

Background on the question:

As a Special Purpose Vehicle from pur point of view does not pursue one or more of the activities listed in points 2 to 12 and point 15 of Annex I to Directive 2013/36/EU, we would assume that Special Purpose Vehicles are no financial institutions according to Art. 4 (27). That's why we would not include them into the reporting of the 10 largest exposures on a consolidated basis to unregulated financial entities according to Art. 394 (2) CRR.

Date of submission:
09/10/2014
Published as Final Q&A:
04/10/2019
EBA Answer:

If, according to the competent authority, the SPV is considered to fall under the definition of a Securitisation Special Purpose Vehicle (SSPE) then it should not be considered a financial sector entity. SSPEs do not acquire participations per se and may not be regarded as carrying out any of the activities listed under Annex I to the CRDIV, having regard to the definition of SSPE in point (66) of Article 4(1) CRR, which specifies that the corporate purpose of a SSPE is limited to the achievement of the securitisation purpose (i.e. “to isolate the obligations of the SSPE from those of the originator”) and so they are in principle not allowed to carry out any other financial activities. See also “EBA Opinion on other financial intermediaries (OFIs) and regulatory perimeter issues”.

As a result, exposures to SSPEs (or SPVs that qualify as SSPEs) should not be counted towards the report of the 10 largest exposures as specified in Article 394(2) CRR.

In any case it should be considered that according to Article 390(7) CRR “in order to determine the overall exposure to a client or a Group of connected clients, in respect of clients to which the institution has exposures through transactions referred to in points (m) and (o) of article 112 or through other transactions where there is an exposure to underlying assets, an institution shall assess its underlying exposures taking into account the economic substance of the structure of the transaction and the risks inherent in the structure of the transaction itself, in order to determine whether it constitutes an additional exposure”.

Status:
Final Q&A