Question ID
2023_6912
Legal act
Regulation (EU) No 2017/2402 (SecReg)
Topic
Provisions applicable to all securitisations
Article
6
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Not applicable
Type of submitter
Credit institution
Subject matter
Risk retention
Question

 

Where an SSPE that directly purchases securitised exposures from the seller is fully consolidated for accounting purposes by an entity, with a view to exposing such entity to (i) the risks (first loss in an amount at least equal to the expected loss) and (ii) the benefit of the excess spread deriving from such exposures, based on the performance of the portfolio which depends on the management of the assets by such entity, can such entity be considered as the limb(b) originator and as such, be eligible to hold the risk retention piece under Article 6(3)(b) of Regulation (EU) No 2017/2402, even though such entity is not directly a party to the purchase arrangement?

Background on the question

Originator is defined under Article 2(3)(b) of Regulation (EU) No 2017/2402 as an entity which purchases a third party's exposures on its own account and then securitises them.

An entity that fully consolidates an SSPE, from an accounting point of view, holds the assets on its balance sheet as if it had acquired the assets itself.

When international accounting standards (IFRS 10) are used in accordance with Regulation (EU) No 2002/1606 to consider the consolidation of the SSPE: (i) power over the investee; (ii) exposure, or rights, to variable returns from its involvement with the investee and (iii) the ability to use its power over the investee to affect the amount of the investor’s returns, the SSPE acts on the account of the consolidating entity.

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the question is not sufficiently clear, or has not sufficiently identified a provision of a legal framework covered by this tool that creates uncertainty and for which an explanation is merited in terms or practical implementation or application.

The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question