What changed, Commission Delegated Regulation (EU) No 625/2014 of 13 March 2014 supplementing Regulation (EU) No 575/2013

+ ## CHAPTER I — DEFINITIONS AND EXPOSURE TO THE RISK OF A SECURITISATION
− ### art_1
+ ### Article 1 — Definitions
− Article 1
+ (a) ‘retainer’ means the entity acting as originator, sponsor or original lender which retains a net economic interest in the securitisation in accordance with Article 405(1) of Regulation (EU) No 575/2013;
− | (a) | ‘retainer’ means the entity acting as originator, sponsor or original lender which retains a net economic interest in the securitisation in accordance with Article 405(1) of Regulation (EU) No 575/2013; |
− | --- | --- |
+ (b) ‘Synthetic form of retention’ means retention of economic interest through the use of derivative instruments;
− | (b) | ‘Synthetic form of retention’ means retention of economic interest through the use of derivative instruments; |
− | --- | --- |
+ (c) ‘Contingent form of retention’ means retention of economic interest through the use of guarantees, ►M1 letters of credit** ◄ ** and other similar forms of credit support ensuring an immediate enforcement of the retention;
− | (c) | ‘Contingent form of retention’ means retention of economic interest through the use of guarantees, letter of credits and other similar forms of credit support ensuring an immediate enforcement of the retention; |
− | --- | --- |
+ (d) ‘Vertical tranche’ means a tranche which exposes the holder of the tranche to the credit risk of each issued tranche of the securitisation transaction on a pro-rata basis.
− | (d) | ‘Vertical tranche’ means a tranche which exposes the holder of the tranche to the credit risk of each issued tranche of the securitisation transaction on a pro-rata basis. |
− | --- | --- |
+ ## CHAPTER II — EXPOSURE TO THE CREDIT RISK OF A SECURITISATION POSITION
− ### art_2
+ ### Article 2 — Particular cases of exposure to the credit risk of a securitisation position
− Article 2
+ **1.** Where an institution acts as a credit derivative counterparty or as a counterparty providing the hedge or as a liquidity facility provider with regard to a securitisation transaction, it shall be deemed to become exposed to the credit risk of a securitisation position when the derivative, the…
− 1. Where an institution acts as a credit derivative counterparty or as a counterparty providing the hedge or as a liquidity facility provider with regard to a securitisation transaction, it shall be deemed to become exposed to the credit risk of a securitisation position when the derivative, the hed…
+ **2.** For the purposes of Article 405 and 406 of Regulation (EU) No 575/2013, where a liquidity facility complies with the conditions specified in paragraph 2 of Article 255 of Regulation (EU) No 575/2013, the liquidity provider shall not be deemed to become exposed to the credit risk of a securiti…
− 2. For the purposes of Article 405 and 406 of Regulation (EU) No 575/2013, where a liquidity facility complies with the conditions specified in paragraph 2 of Article 255 of Regulation (EU) No 575/2013, the liquidity provider shall not be deemed to become exposed to the credit risk of a securitisati…
+ **3.** In the context of a re-securitisation with more than one level or a securitisation with multiple discrete underlying transactions, an institution shall be deemed to become exposed to the credit risk only of the individual securitisation position or transaction to which it is assuming exposure…
− 3. In the context of a re-securitisation with more than one level or a securitisation with multiple discrete underlying transactions, an institution shall be deemed to become exposed to the credit risk only of the individual securitisation position or transaction to which it is assuming exposure.
+ **4.** Institutions shall not be deemed to be in breach of Article 405 of Regulation (EU) No 575/2013 in accordance with Article 14(2) of Regulation (EU) No 575/2013 on a consolidated basis provided that the following conditions are met:(a) the entity which holds the securitisation positions is esta…
− 4. Institutions shall not be deemed to be in breach of Article 405 of Regulation (EU) No 575/2013 in accordance with Article 14(2) of Regulation (EU) No 575/2013 on a consolidated basis provided that the following conditions are met:
+ ## CHAPTER III — RETENTION OF NET ECONOMIC INTEREST
− | (a) | the entity which holds the securitisation positions is established in a third country and is included in the consolidated group in accordance with Article 18 of Regulation (EU) No 575/2013; |
− | --- | --- |
+ ### Article 3 — Retainers of material net economic interest
− | (b) | the securitisation positions are held in the trading book of the entity referred to in point (a) for the purposes of market making activities; |
− | --- | --- |
+ **1.** The retained material net economic interest shall not be split amongst different types of retainer. The requirement to retain a material net economic interest shall be fulfilled in full by any of the following:(a) the originator or multiple originators;(b) the sponsor or multiple sponsors;(c)…
− | (c) | the securitisation positions are not material with respect to the overall risk profile of the trading book of the group referred to in point (a) and do not form a disproportionate share of the trading activities of the group. |
− | --- | --- |
+ **2.** Where the securitised exposures are created by multiple originators, the retention requirement shall be fulfilled by each originator, in relation to the proportion of the total securitised exposures for which it is the originator.
− ### art_3
+ **3.** Where the securitised exposures are created by multiple original lenders, the retention requirement shall be fulfilled by each original lender, in relation to the proportion of the total securitised exposures for which it is the original lender.
− Article 3
+ **4.** By way of derogation from paragraphs 2 and 3, where the securitised exposures are created by multiple originators or multiple original lenders, the retention requirement may be fulfilled in full by a single originator or original lender provided that either of the following conditions are met…
− 1. The retained material net economic interest shall not be split amongst different types of retainer. The requirement to retain a material net economic interest shall be fulfilled in full by any of the following:
+ **5.** Where the securitised exposures have been sponsored by multiple sponsors, the retention requirement shall be fulfilled by either:(a) the sponsor whose economic interest is most appropriately aligned with investors as agreed by the multiple sponsors on the basis of objective criteria including…
− | (a) | the originator or multiple originators; |
− | --- | --- |
+ ### Article 4 — Fulfilment of the retention requirement through a synthetic or contingent form of retention
− | (b) | the sponsor or multiple sponsors; |
− | --- | --- |
+ **1.** The retention requirement may be fulfilled in a manner equivalent to one of the options set out in the second subparagraph of Article 405(1) of Regulation (EU) No 575/2013 through a synthetic or contingent form of retention where the following conditions are met:(a) the amount retained is at …
− | (c) | the original lender or multiple original lenders. |
− | --- | --- |
− 
− 2. Where the securitised exposures are created by multiple originators, the retention requirement shall be fulfilled by each originator, in relation to the proportion of the total securitised exposures for which it is the originator.
+ **2.** Where an entity other than a credit institution as defined in Article 4(1)(1) of Regulation (EU) No 575/2013 acts as a retainer through a synthetic or contingent form of retention, the interest retained on a synthetic or contingent basis shall be fully collateralised in cash and held on a seg…
− 3. Where the securitised exposures are created by multiple original lenders, the retention requirement shall be fulfilled by each original lender, in relation to the proportion of the total securitised exposures for which it is the original lender.
+ ### Article 5 — Retention option (a): pro rata retention in each of the tranches sold or transferred to investors
− 4. By way of derogation from paragraphs 2 and 3, where the securitised exposures are created by multiple originators or multiple original lenders, the retention requirement may be fulfilled in full by a single originator or original lender provided that either of the following conditions are met:
+ **1.** A retention of no less than 5 % of the nominal value of each of the tranches sold or transferred as referred to in point (a) of Article 405(1) of the Regulation (EU) No 575/2013 may also be achieved by the following:(a) retention of at least 5 % of the nominal value of each of the securitised…
− | (a) | the originator or original lender has established and is managing the programme or securitisation scheme; |
− | --- | --- |
+ ### Article 6 — Retention option (b): retention of the originator's interest for revolving exposures
− | (b) | the originator or original lender has established the programme or securitisation scheme and has contributed over 50 % of the total securitised exposures. |
− | --- | --- |
− 
− 5. Where the securitised exposures have been sponsored by multiple sponsors, the retention requirement shall be fulfilled by either:
− 
− | (a) | the sponsor whose economic interest is most appropriately aligned with investors as agreed by the multiple sponsors on the basis of objective criteria including the fee structures, the involvement in the establishment and management of the programme or securitisation scheme and exposure to c…
− | --- | --- |
− 
− | (b) | by each sponsor proportionately in relation to the number of sponsors. |
− | --- | --- |
− 
− ### art_4
− 
− Article 4
− 
− 1. The retention requirement may be fulfilled in a manner equivalent to one of the options set out in the second subparagraph of Article 405(1) of Regulation (EU) No 575/2013 through a synthetic or contingent form of retention where the following conditions are met:
− 
− | (a) | the amount retained is at least equal to the requirement under the option to which the synthetic or contingent form of retention can be equated; |
− | --- | --- |
− 
− | (b) | the retainer has explicitly disclosed that it will retain, on an ongoing basis, a material net economic interest in that manner, including details of the form of retention, the methodology used in its determination and its equivalence to one of those options. |
− | --- | --- |
− 2. Where an entity other than a credit institution as defined in Article 4(1)(1) of Regulation (EU) No 575/2013 acts as a retainer through a synthetic or contingent form of retention, the interest retained on a synthetic or contingent basis shall be fully collateralised in cash and held on a segrega…
− 
− ### art_5
− 
− Article 5
− 
− 1. A retention of no less than 5 % of the nominal value of each of the tranches sold or transferred as referred to in point (a) of Article 405(1) of the Regulation (EU) No 575/2013 may also be achieved by the following:
− 
− | (a) | retention of at least 5 % of the nominal value of each of the securitised exposures, provided that the credit risk of such exposures ranks pari passu with or is subordinated to the credit risk securitised for the same exposures. In the case of a revolving securitisation, as defined in Articl…
− | --- | --- |
− 
− | (b) | the provision, in the context of an ABCP programme, of a liquidity facility which may be senior in the contractual waterfall, where the following conditions are fulfilled:(i)the liquidity facility covers 100 % of the credit risk of the securitised exposures;(ii)the liquidity facility covers …
− | --- | --- |
− | (i) | the liquidity facility covers 100 % of the credit risk of the securitised exposures; |
− | (ii) | the liquidity facility covers the credit risk for as long as the retainer has to retain the economic interest by means of such liquidity facility for the relevant securitisation position; |
− | (iii) | the liquidity facility is provided by the originator, sponsor or original lender in the securitisation transaction; |
− | (iv) | the institution becoming exposed to such securitisation has been given access to appropriate information to enable it to verify that points (i), (ii) and (iii) are complied with; |
− 
− | (c) | retention of a vertical tranche which has a nominal value of no less than 5 % of the total nominal value of all the issued tranches of notes. |
− | --- | --- |
− 
− ### art_6
− 
− Article 6
− 
+ ### Article 7 — Retention option (c): retention of randomly selected exposures
− ### art_7
+ **1.** The pool of at least 100 potentially securitised exposures from which retained and securitised exposures are randomly selected, referred to in point (c) of the second subparagraph of Article 405(1) of Regulation (EU) No 575/2013, shall be sufficiently diverse to avoid the excessive concentrat…
− Article 7
+ **2.** The retainer shall not designate different individual exposures as retained exposures at different points in time, unless this is necessary to fulfil the retention requirement in relation to a securitisation in which the securitised exposures fluctuate over time, either due to new exposures b…
− 1. The pool of at least 100 potentially securitised exposures from which retained and securitised exposures are randomly selected, referred to in point (c) of the second subparagraph of Article 405(1) of Regulation (EU) No 575/2013, shall be sufficiently diverse to avoid the excessive concentration …
+ ### Article 8 — Retention option (d): retention of the first loss tranche
− 2. The retainer shall not designate different individual exposures as retained exposures at different points in time, unless this is necessary to fulfil the retention requirement in relation to a securitisation in which the securitised exposures fluctuate over time, either due to new exposures being…
+ **1.** The retention of the first loss tranche in accordance with point (d) of the second subparagraph of Article 405(1) of Regulation (EU) No 575/2013 shall be fulfilled by either on-balance sheet or off-balance sheet positions and may also be fulfilled by any of the following:(a) provision of a co…
− ### art_8
+ **2.** Where the first loss tranche exceeds 5 % of the nominal value of the securitised exposures, it shall be possible for the retainer to only retain a portion of such first loss tranche, where this portion is equivalent to at least 5 % of the nominal value of the securitised exposures.
− Article 8
+ **3.** For the fulfilment of the risk retention requirement at a securitisation scheme level institutions shall not take into account the existence of underlying transactions in which the originators or original lenders retain a first loss exposure at the transaction-specific level.
− 1. The retention of the first loss tranche in accordance with point (d) of the second subparagraph of Article 405(1) of Regulation (EU) No 575/2013 shall be fulfilled by either on-balance sheet or off-balance sheet positions and may also be fulfilled by any of the following:
+ ### Article 9 — Retention option (e): retention of a first loss in every securitised exposure
− | (a) | provision of a contingent form of retention as referred to in Article 1(1)(c) or of a liquidity facility in the context of an ABCP programme, which fulfils the following criteria:(i)it covers at least 5 % of the nominal value of the securitised exposures;(ii)it constitutes a first loss posit…
− | --- | --- |
− | (i) | it covers at least 5 % of the nominal value of the securitised exposures; |
− | (ii) | it constitutes a first loss position in relation to the securitisation; |
− | (iii) | it covers the credit risk for the entire duration of the retention commitment; |
− | (iv) | it is provided by the originator, sponsor or original lender in the securitisation; |
− | (v) | the institution becoming exposed to such securitisation has been given access to appropriate information to enable it to verify that points (i), (ii), (iii) and (iv) are complied with; |
+ **1.** The retention of a first loss exposure at the level of every securitised exposure in accordance with point (e) of the second subparagraph of Article 405(1) shall be applied so that the credit risk retained is always subordinated to the credit risk that has been securitised in relation to thos…
− | (b) | overcollateralisation, as a form of credit enhancement, if that overcollateralisation acts as a ‘first loss’ retention of no less than 5 % of the nominal value of the tranches issued by the securitisation. |
− | --- | --- |
+ **2.** The retention referred to in paragraph 1 may be fulfilled by the sale at a discounted value of the underlying exposures by the originator or original lender, where the amount of the discount is not less than 5 % of the nominal value of each exposure and where the discounted sale amount is onl…
− 2. Where the first loss tranche exceeds 5 % of the nominal value of the securitised exposures, it shall be possible for the retainer to only retain a portion of such first loss tranche, where this portion is equivalent to at least 5 % of the nominal value of the securitised exposures.
− 
− 3. For the fulfilment of the risk retention requirement at a securitisation scheme level institutions shall not take into account the existence of underlying transactions in which the originators or original lenders retain a first loss exposure at the transaction-specific level.
+ ### Article 10 — Measurement of the level of retention
− ### art_9
+ **1.** Where measuring the level of retention of net economic interest, the following criteria shall be applied:(a) origination shall be considered as the time at which the exposures were first securitised;(b) the calculation of the level of retention shall be based on nominal values and the acquisi…
− Article 9
+ **2.** In addition to the criteria set out in paragraph 1, provided that there is no embedded mechanism by which the retained interest at origination would decline faster than the interest transferred, the fulfilment of the retention requirement shall not be deemed to have been affected by the amort…
− 1. The retention of a first loss exposure at the level of every securitised exposure in accordance with point (e) of the second subparagraph of Article 405(1) shall be applied so that the credit risk retained is always subordinated to the credit risk that has been securitised in relation to those sa…
+ ### Article 11 — Measurement of retention for the undrawn amounts in exposures in the form of credit facilities
− 2. The retention referred to in paragraph 1 may be fulfilled by the sale at a discounted value of the underlying exposures by the originator or original lender, where the amount of the discount is not less than 5 % of the nominal value of each exposure and where the discounted sale amount is only re…
− 
− ### art_10
− 
− Article 10
− 
− 1. Where measuring the level of retention of net economic interest, the following criteria shall be applied:
− 
− | (a) | origination shall be considered as the time at which the exposures were first securitised; |
− | --- | --- |
− 
− | (b) | the calculation of the level of retention shall be based on nominal values and the acquisition price of assets shall not be taken into account; |
− | --- | --- |
− 
− | (c) | ‘excess spread’ as defined in Article 242(1) of Regulation (EU) No 575/2013 shall not be taken into account when measuring the retainer's net economic interest; |
− | --- | --- |
− 
− | (d) | the same retention option and methodology shall be used to calculate the net economic interest during the life of a securitisation transaction, unless exceptional circumstances require a change and that change is not used as a means to reduce the amount of retained interest. |
− | --- | --- |
− 
− 2. In addition to the criteria set out in paragraph 1, provided that there is no embedded mechanism by which the retained interest at origination would decline faster than the interest transferred, the fulfilment of the retention requirement shall not be deemed to have been affected by the amortisat…
− 
− ### art_11
− Article 11
− 
+ ### Article 12 — Prohibition of hedging or selling the retained interest
− ### art_12
+ **1.** The obligation in the third subparagraph of Article 405(1) of Regulation (EU) No 575/2013 not to subject the retained net economic interest to any credit risk mitigation, short positions, other hedge or sale shall be applied having regard to the purpose of the retention requirement and taking…
− Article 12
+ **2.** The retainer may use any retained exposures or securitisation positions as collateral for secured funding purposes, as long as such use does not transfer the credit risk of these retained exposures or securitisation positions to a third party.
− 1. The obligation in the third subparagraph of Article 405(1) of Regulation (EU) No 575/2013 not to subject the retained net economic interest to any credit risk mitigation, short positions, other hedge or sale shall be applied having regard to the purpose of the retention requirement and taking acc…
+ ### Article 13 — Exemptions to Article 405(1) of Regulation (EU) No 575/2013
− 2. The retainer may use any retained exposures or securitisation positions as collateral for secured funding purposes, as long as such use does not transfer the credit risk of these retained exposures or securitisation positions to a third party.
− ### art_13
− 
− Article 13
− 
+ ### Article 14 — Retention on a consolidated basis
− ### art_14
− 
− Article 14
+ ## CHAPTER IV — DUE DILIGENCE REQUIREMENTS FOR INSTITUTIONS BECOMING EXPOSED TO A SECURITISATION POSITION
− ### art_15
+ ### Article 15 — Outsourcing and other general considerations
− Article 15
+ **1.** Where there is no available information on the specific exposures to be securitised, including where exposures accumulate before their securitisation or where they may be substituted into an existing revolving securitisation, an institution is deemed to fulfil its due diligence obligations re…
− 1. Where there is no available information on the specific exposures to be securitised, including where exposures accumulate before their securitisation or whether they may be substituted into an existing revolving securitisation, an institution is deemed to fulfil its due diligence obligations refe…
+ **2.** When outsourcing certain tasks of the process for the fulfilment of the obligations set out in Article 406 of Regulation (EU) No 575/2013, including record keeping, institutions becoming exposed to the risks of a securitisation shall retain full control of that process.
− 2. When outsourcing certain tasks of the process for the fulfilment of the obligations set out in Article 406 of Regulation (EU) No 575/2013, including record keeping, institutions becoming exposed to the risks of a securitisation shall retain full control of that process.
+ ### Article 16 — Specification of risk characteristics and structural features
− ### art_16
+ **1.** The risk characteristics of the individual securitisation position referred to in Article 406(1)(b) of Regulation (EU) No 575/2013 shall include the following most appropriate and material characteristics, such as:(a) tranche seniority level;(b) cash flow profile;(c) any existing rating;(d) h…
− Article 16
− 
− 1. The risk characteristics of the individual securitisation position referred to in Article 406(1)(b) of Regulation (EU) No 575/2013 shall include the following most appropriate and material characteristics, such as:
+ **2.** The risk characteristics of the exposures underlying the securitisation position referred to in Article 406(1)(c) of Regulation (EU) No 575/2013 shall include the most appropriate and material characteristics, including the performance information referred to in Article 406(2) of Regulation (…
− | (a) | tranche seniority level; |
− | --- | --- |
+ **3.** Additional structural features as referred to in Article 406(1)(g) of Regulation (EU) No 575/2013 shall include derivative instruments, guarantees, ►M1 letters of credit** ◄ ** and other similar forms of credit support.
− | (b) | cash flow profile; |
− | --- | --- |
+ ### Article 17 — Frequency of review
− | (c) | any existing rating; |
− | --- | --- |
− | (d) | historical performance of similar tranches; |
− | --- | --- |
− 
− | (e) | obligations related to the tranches included in the documentation relating to the securitisation; |
− | --- | --- |
− 
− | (f) | credit enhancement. |
− | --- | --- |
− 
− 2. The risk characteristics of the exposures underlying the securitisation position referred to in Article 406(1)(c) of Regulation (EU) No 575/2013 shall include the most appropriate and material characteristics, including the performance information referred to in Article 406(2) of Regulation (EU) …
− 
− 3. Additional structural features as referred to in Article 406(1)(g) of Regulation (EU) No 575/2013 shall include derivative instruments, guarantees, letter of credits and other similar forms of credit support.
− 
− ### art_17
− 
− Article 17
− 
+ (a) structural features that can materially impact on the performance of the securitisation position;
− | (a) | structural features that can materially impact on the performance of the securitisation position; |
− | --- | --- |
+ (b) the risk characteristics of the securitisation positions and of the underlying exposures.
− | (b) | the risk characteristics of the securitisation positions and of the underlying exposures. |
− | --- | --- |
+ ### Article 18 — Stress Tests
− ### art_18
+ **1.** The stress tests referred to in the second subparagraph of Article 406(1) of Regulation (EU) No 575/2013, shall include all relevant securitisation positions and shall be incorporated into the stress testing strategies and processes that the institutions carry out in accordance with the inter…
− Article 18
+ **2.** In order to fulfil the stress testing requirements referred to in the second subparagraph of Article 406(1) of Regulation (EU) No 575/2013, institutions may make use of comparable financial models developed by third parties, in addition to those developed by ECAIs, provided that they can demo…
− 1. The stress tests referred to in the second subparagraph of Article 406(1) of Regulation (EU) No 575/2013, shall include all relevant securitisation positions and shall be incorporated into the stress testing strategies and processes that the institutions carry out in accordance with the internal …
+ **3.** When conducting the stress tests referred to in Article 406(1) of Regulation (EU) No 575/2013 within an ABCP programme as referred to in Article 242(9) of Regulation (EU) No 575/2013, which is supported by a liquidity facility which fully covers the credit risk of the securitised exposures, i…
− 2. In order to fulfil the stress testing requirements referred to in the second subparagraph of Article 406(1) of Regulation (EU) No 575/2013, institutions may make use of comparable financial models developed by third parties, in addition to those developed by ECAIs, provided that they can demonstr…
+ ### Article 19 — Exposures in the trading book and non-trading book
− 3. When conducting the stress tests referred to in Article 406(1) of Regulation (EU) No 575/2013 within an ABCP programme as referred to in Article 242(9) of Regulation (EU) No 575/2013, which is supported by a liquidity facility which fully covers the credit risk of the securitised exposures, insti…
+ **1.** The holding of a securitisation position in the trading or non-trading book respectively shall not represent a sufficient justification in itself for the application of different policies and procedures or a different intensity of review to fulfil the due diligence obligations referred to in …
− ### art_19
+ **2.** Institutions shall ensure that any material change increasing the risk profile of the securitisation positions in their trading book and non-trading book is reflected by an appropriate change in their due diligence procedures as regards those securitisation positions. In this regard, institut…
− Article 19
+ ### Article 20 — Positions in the correlation trading portfolio
− 1. The holding of a securitisation position in the trading or non-trading book respectively shall not represent a sufficient justification in itself for the application of different policies and procedures or a different intensity of review to fulfil the due diligence obligations referred to in Arti…
− 2. Institutions shall ensure that any material change increasing the risk profile of the securitisation positions in their trading book and non-trading book is reflected by an appropriate change in their due diligence procedures as regards those securitisation positions. In this regard, institutions…
− 
− ### art_20
− 
− Article 20
− 
+ (a) securitisation positions are either held in the correlation trading portfolio and are reference instruments as referred to in Article 338(1)(b) of that Regulation or are eligible for inclusion in the correlation trading portfolio;
− | (a) | securitisation positions are either held in the correlation trading portfolio and are reference instruments as referred to in Article 338(1)(b) of that Regulation or are eligible for inclusion in the correlation trading portfolio; |
− | --- | --- |
+ (b) the institution complies with Article 377 of that Regulation with regard to calculating the own funds requirements in relation to its correlation trading portfolio;
− | (b) | the institution complies with Article 377 of that Regulation with regard to calculating the own funds requirements in relation to its correlation trading portfolio; |
− | --- | --- |
+ (c) the institution's approach to calculating own funds in relation to its trading portfolio results in a comprehensive and thorough understanding of the risk profile of its investment in the securitisation positions;
− | (c) | the institution's approach to calculating own funds in relation to its trading portfolio results in a comprehensive and thorough understanding of the risk profile of its investment in the securitisation positions; |
− | --- | --- |
+ (d) the institution has implemented formal policies and procedures appropriate to its correlation trading portfolio and commensurate with the risk profile of its investments in the corresponding securitised positions, for analysing and recording the relevant information referred to in Article 406(1)…
− | (d) | the institution has implemented formal policies and procedures appropriate to its correlation trading portfolio and commensurate with the risk profile of its investments in the corresponding securitised positions, for analysing and recording the relevant information referred to in Article 40…
− | --- | --- |
+ ## CHAPTER V — REQUIREMENTS FOR ORIGINATORS, SPONSORS AND ORIGINAL LENDERS
− ### art_21
+ ### Article 21 — Policies for credit granting
− Article 21
+ **1.** The fulfilment of the obligation referred to in Article 408 of Regulation (EU) No 575/2013 by originator or sponsor institutions shall not imply that borrower types and loan products must be the same for securitised and non-securitised exposures.
− 1. The fulfilment of the obligation referred to in Article 408 of Regulation (EU) No 575/2013 by originator or sponsor institutions shall not imply that borrower types and loan products must be the same for securitised and non-securitised exposures.
+ **2.** Where sponsor and originator institutions have not been engaged in the original credit-granting of exposures to be securitised, or are not active in the credit-granting of the specific types of exposures to be securitised, those institutions shall obtain all the necessary information to asses…
− 2. Where sponsor and originator institutions have not been engaged in the original credit-granting of exposures to be securitised, or are not active in the credit-granting of the specific types of exposures to be securitised, those institutions shall obtain all the necessary information to assess wh…
+ ### Article 22 — Disclosure of the level of the commitment to maintain a net economic interest
− ### art_22
+ **1.** The retainer shall, pursuant to Article 409 of Regulation (EU) No 575/2013, disclose to investors at least the following information regarding the level of its commitment to maintain a net economic interest in the securitisation:(a) confirmation of the retainer's identity and of whether it re…
− Article 22
+ **2.** Where the exemptions referred to in paragraph 3 or 4 of Article 405 of Regulation (EU) No 575/2013 apply to a securitisation transaction, institutions acting as originator, sponsor or original lender shall disclose information on the applicable exemption to investors.
− 1. The retainer shall, pursuant to Article 409 of Regulation (EU) No 575/2013, disclose to investors at least the following information regarding the level of its commitment to maintain a net economic interest in the securitisation:
+ **3.** The disclosure referred to in paragraphs 1 and 2 shall be appropriately documented and made publicly available, except in bilateral or private transactions where private disclosure is considered by the parties to be sufficient. The inclusion of a statement on the retention commitment in the p…
− | (a) | confirmation of the retainer's identity and of whether it retains as originator, sponsor or original lender; |
− | --- | --- |
+ **4.** The disclosure shall also be confirmed after origination with the same regularity as the reporting frequency of the transaction, at least annually and in any of the following circumstances:(a) where a breach of the retention commitment referred to in Article 405(1) of Regulation (EU) No 575/2…
− | (b) | whether the modalities provided for in points (a), (b), (c), (d) or (e) of the second subparagraph of Article 405(1) of Regulation (EU) No 575/2013 has been applied to retain a net economic interest; |
− | --- | --- |
+ ### Article 23 — Disclosure of materially relevant data
− | (c) | any change to the modality to retain a net economic interest as referred to in point (b) in accordance with Article 10(1)(d); |
− | --- | --- |
+ **1.** Originators, sponsors and original lenders shall ensure that materially relevant data under Article 409 of Regulation (EU) No 575/2013 is readily accessible to investors, without excessive administrative burden.
− | (d) | confirmation of the level of retention at origination and of the commitment to retain on an on-going basis, which shall relate only to the continuation of fulfilment of the original obligation and shall not require data on the current nominal or market value, or on any impairments or write-d…
− | --- | --- |
+ **2.** The appropriate disclosure referred to in Article 409 of Regulation (EU) No 575/2013 shall be done at least annually and in the following circumstances:(a) where the performance of the securitisation position or the risk characteristics of the securitisation or of the underlying exposures mat…
− 2. Where the exemptions referred to in paragraph 3 or 4 of Article 405 of Regulation (EU) No 575/2013 apply to a securitisation transaction, institutions acting as originator, sponsor or original lender shall disclose information on the applicable exemption to investors.
+ **2a.** Materially relevant data on the individual underlying exposures shall, in general, be provided on a loan-by-loan basis; however in certain instances the data provided on an aggregate basis may be sufficient. In assessing whether data provided on an aggregate basis is sufficient, factors to b…
− 3. The disclosure referred to in paragraphs 1 and 2 shall be appropriately documented and made publicly available, except in bilateral or private transactions where private disclosure is considered by the parties to be sufficient. The inclusion of a statement on the retention commitment in the prosp…
+ **3.** The disclosure requirement shall be subject to any other legal or regulatory requirements applicable to the retainer.
− 4. The disclosure shall also be confirmed after origination with the same regularity as the reporting frequency of the transaction, at least annually and in any of the following circumstances:
+ ## CHAPTER VI — FINAL PROVISIONS
− | (a) | where a breach of the retention commitment referred to in Article 405(1) of Regulation (EU) No 575/2013 occurs; |
− | --- | --- |
+ ### Article 24 — Entry into force
− | (b) | where the performance of the securitisation position or the risk characteristics of the securitisation or of the underlying exposures materially change; |
− | --- | --- |
− 
− | (c) | following a breach of the obligations included in the documentation relating to the securitisation. |
− | --- | --- |
+ This Regulation shall enter into force on the twentieth day following that of its publication in *the Official Journal of the European Union*.
− ### art_23
− 
− Article 23
− 
− 1. Originators, sponsors and original lenders shall ensure that materially relevant data under Article 409 of Regulation (EU) No 575/2013 is readily accessible to investors, without excessive administrative burden.
− 
− 2. The appropriate disclosure referred to in Article 409 of Regulation (EU) No 575/2013 shall be done at least annually and in the following circumstances:
− 
− | (a) | where the performance of the securitisation position or the risk characteristics of the securitisation or of the underlying exposures materially change; |
− | --- | --- |
− 
− | (b) | following a breach of the obligations included in the documentation relating to the securitisation; |
− | --- | --- |
− 
− | (c) | In order for data to be considered to be materially relevant with regard to the individual underlying exposures, it shall, in general, be provided on a loan-by-loan basis, however there are instances where the data may be provided on an aggregate basis. In assessing whether aggregate informa…
− | --- | --- |
− 
− 3. The disclosure requirement shall be subject to any other legal or regulatory requirements applicable to the retainer.
− 
− ### art_24
− 
− Article 24
− 
− This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.