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?
It is not clear from Article 405(2) of the CRR whether the retention requirements under Article 405(1) be satisfied on an EU consolidated basis where the securitisation is of exposures from just one entity, given that Article 405(2) states that: “Where an EU parent credit institution, an EU financial holding company, an EU mixed financial holding company or one of its subsidiaries, as an originator or a sponsor, securitises exposures from several credit institutions, investment firms or other financial institutions which are included in the scope of supervision on a consolidated basis, the requirement referred to in paragraph 1 may be satisfied on the basis of the consolidated situation of the related EU parent credit institution, EU financial holding company, or EU mixed financial holding company.”
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