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.

According to Article 405 of CRR, the requirement on the retention of a material net economic interest can be satisfied through the retention of no less than 5 % of the nominal value of each of the tranches sold or transferred to the investors. Pursuant to the second last sentence of paragraph 1 of Article 405 of CRR, 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. According to Italian law n. 18 of 14 February 2016, the Italian Government can issue a guarantee (so called “GACS”) in order to secure the payment obligations vis-à-vis the holders of the most senior tranche of ABS issued by Italian securitisation vehicles and backed by portfolios of non-performing claims assigned by Italian banks. The above guarantee might, prima facie (and wrongly in our opinion, for the reasons set out below), appear as a credit risk mitigation or an hedge of the net economic interest to be retained by the originator.

Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.

If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.

For further information please refer to the press release and the updated Q&A page.