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Dutch Securitisation Association

Yes, we do agree.
No, we do not see a direct need for a separate treatment of certain corporate exposures.
No, we do not agree. The current wording would indeed exclude synthetic securitisations. But in synthetic securitisations, the investor will typically have been involved in an extensive due diligence exercise, including the origination and servicing activities of the seller. This should have provided sufficient information to determine the Kirb of the underlying portfolio. So, for synthetic securitisations, Art. 4(2)(a) should be drafted differently.
We have not seen a definition of proxy data other than Art. 10(1) stating that “Proxy data can be internal, external or pooled data”.
The references in the text of the draft regulation to “external data or proxy data” are confusing in this respect.
Yes, we do not see any specific obstacles applying the provisions to non-performing loans, as long as the portfolios are sufficiently granular.
Rob Koning