EBA · 2021_6293 Rejected question

Credit protection by an insurer provided directly on the pool of receivables

Regulation
Regulation (EU) No 2017/2402 (SecReg)
Article
2, para. 6
Topic
Provisions applicable to all securitisations
Submitted by
Competent authority
Submitted
2021-11-25
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Question

Can credit protection by an insurer, if provided directly on the pool of receivables (and not on a position held by an investor or originator in a structured transaction, can this protection), under circumstances, be taken into account in determining whether the transaction is tranched?

Background

It is unclear whether credit protection by an insurer, if provided directly on the pool of receivables (and not on a position held by an investor or originator in a structured transaction, can this protection), under circumstances, can be taken into account in determining whether the transaction is tranched.  According to Article 2(6) Regulation (EU) 2017/2402 (SecReg)credit protection provided by third parties directly to holders of positions in a segment or in other segments of a structured transaction with an underlying pool of exposures should be disregarded. If the protection is directly to the receivables instead of to the position of one of the parties, while capped to a maximum annual liability, it is unclear whether this credit insurance can then be considered as part of a tranche, or it should be disregarded as by Article 2(6).
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6293

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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