Regulation 2017/2401

Retained interest of the issuer

Article 405

Consultations

Final Drafts

Q&As

Can the retention requirements under Article 405 of Regulation (EU) No 575/2013 (CRR) be satisfied by the provider of the junior/first loss funding for a CLO warehouse where such an entity has also been involved in the selection of the exposures and the setting of criteria, as it can be said, in such capacity, to be acting as "originator"? Also, where the warehouse provides financing for the acquisition of the majority of the exposures but further exposures are acquired from different sources after closing (and in accordance with pre-defined criteria), will this prevent the first loss warehouse provider from being the "originator"?

Final Q&A 2013_265

Should an entity purchase third party's exposures without acting for its own account (e.g. a special purpose vehicle issuing limited recourse notes collateralised by the aforementioned exposures), such entity does not qualify as the "originator" for CRR purposes and, therefore, will NOT be able to act as retainer of the net economic interest in the subsequent securitisation of the exposures. Can, however, the person(s) for the account of which the exposures were acquired in the first place (i.e., in the example above, the investors in the notes issued by the special purpose vehicle), be deemed to have, in turn, "indirectly" acquired the exposures for their own account (through the special purpose vehicle) and, therefore, qualify as "originator(s)" and retainer(s) of the net economic interest for CRR purposes at the time of the subsequent securitisation of the exposures?

Rejected Q&A 2016_2927

If the Originator retains a vertical slice of a securitisation capital structure the most senior tranche of which is guaranteed - as part of the original securitisation structure - by a third party guarantor, would that be in contrast with the requirement as set out in paragraph 1 of Article 405 of CRR, providing that the net economic interest shall not be subject to any credit risk mitigation or any short positions or any other hedge and shall not be sold.

Rejected Q&A 2016_2960

Do the provisions in Article 405(1) of Regulation (EU) No 575/2013 apply to purchased receivables?

Final Q&A 2014_1474

Pursuant to Article 405(2) of Regulation (EU) No 575/2013, can the retention requirements under Article 405(1) be satisfied on an EU consolidated basis where the securitisation is of exposures from one entity instead of several entities?

Rejected Q&A 2015_1886

Guidelines

Opinions

Other

Allgemeinverfügungen

Merkblätter

Erläuternde Aussagen

Rundschreiben

Regulations

Decisions

Application of stricter requirements by institutions

Definitions specific to capital requirements for credit risk

Application of requirements on an individual basis

General requirements for own funds and eligible liabilities

Minority interests that qualify for inclusion in consolidated Common Equity Tier 1 capital

Qualifying Additional Tier 1, Tier 1, Tier 2 capital and qualifying own funds

Qualifying Additional Tier 1 and Tier 2 capital issued by a special purpose entity

Minority interests included in consolidated Common Equity Tier 1 capital

Qualifying Tier 1 instruments included in consolidated Tier 1 capital

Qualifying Tier 1 capital included in consolidated Additional Tier 1 capital

Qualifying own funds included in consolidated own funds

Qualifying own funds instruments included in consolidated Tier 2 capital

Qualifying eligible liabilities instruments

MINORITY INTEREST AND ADDITIONAL TIER 1 AND TIER 2 INSTRUMENTS ISSUED BY SUBSIDIARIES

Risk weighting and prohibition of qualifying holdings outside the financial sector

QUALIFYING HOLDINGS OUTSIDE THE FINANCIAL SECTOR

GENERAL REQUIREMENTS, VALUATION AND REPORTING

General principles governing the use of the different approaches

OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK

Own funds requirements for foreign-exchange risk

Own funds requirements for commodities risk

Use of internal models to calculate own funds requirements

OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK

Alternative to using CVA methods for calculating own funds requirements

OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK

Definition of an institution for large exposures purposes

Capacity to identify and manage large exposures

Compliance with large exposures requirements

Calculating additional own funds requirements for large exposures in the trading book

Procedures to prevent institutions from avoiding the additional own funds requirement

Calculating the effect of the use of credit risk mitigation techniques

REQUIREMENTS FOR SPONSOR AND ORIGINATOR INSTITUTIONS

Reporting obligation and reporting format

Operational requirements for holdings of liquid assets

Currencies with constraints on the availability of liquid assets

Outflows from credit and liquidity facilities

General rules for the calculation of the net stable funding ratio

Derogation for small and non-complex institutions

Available stable funding for the simplified calculation of the net stable funding ratio

Required stable funding for the simplified calculation of the net stable funding ratio

Exposures excluded from the total exposure measure

Calculation of the exposure value of assets

Calculation of the exposure value of derivatives

Additional provisions on the calculation of the exposure value of written credit derivatives

Counterparty credit risk add-on for securities financing transactions

Calculation of the exposure value of off-balance-sheet items

Calculation of the exposure value of regular-way purchases and sales awaiting settlement

Reporting on prudential requirements and financial information

Specific reporting requirements for market risk

Feasibility report on the integrated reporting system

Non-material, proprietary or confidential information

Disclosures by small and non-complex institutions

Disclosure of risk management objectives and policies

Disclosure of own funds and eligible liabilities

Disclosure of own funds requirements and risk-weighted exposure amounts

Disclosure of exposures to counterparty credit risk

Disclosure of countercyclical capital buffers

Disclosure of indicators of global systemic importance

Disclosure of exposures to credit risk and dilution risk

Disclosure of encumbered and unencumbered assets

Disclosure of the use of the Standardised Approach

Disclosure of operational risk management

Disclosure of exposures to interest rate risk on positions not held in the trading book

Disclosure of exposures to securitisation positions

Disclosure of environmental, social and governance risks (ESG risks)

TECHNICAL CRITERIA ON TRANSPARENCY AND DISCLOSURE

Disclosure of the use of the IRB Approach to credit risk

Disclosure of the use of credit risk mitigation techniques

Disclosure of the use of the Advanced Measurement Approaches to operational risk

QUALIFYING REQUIREMENTS FOR THE USE OF PARTICULAR INSTRUMENTS OR METHODOLOGIES

Macroprudential or systemic risk identified at the level of a Member State

Review of the phasing-in of the liquidity coverage requirement

Alternative standardised approach for market risk

Objections to regulatory technical standards

Own funds requirements, unrealised gains and losses measured at fair value and deductions

Transitional provisions for disclosure of own funds

Large exposures, own funds requirements, leverage and the Basel I Floor

Prudential treatment of exposures related to environmental and/or social objectives

Own funds requirements for exposures in the form of covered bonds

Capital instruments subscribed by public authorities in emergency situations

Holdings of eligible liabilities instruments

CIUs with an underlying portfolio of euro area sovereign bonds

Method for the calculation of the exposure value of derivative transactions

Review of capital instruments which may be written down or converted at the point of non-viability

Report on overshootings and supervisory powers to limit distributions

Deduction of defined benefit pension fund assets from Common Equity Tier 1 items

Amendment of Regulation (EU) No 648/2012

TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS

Metadata

Related documents

Article 405 - Retained interest of the issuer [repealed]

Table of contents