If, according to the competent authority, the SPV is considered to fall under the definition of a Securitisation Special Purpose Vehicle (SSPE) then it should not be considered a financial sector entity. SSPEs do not acquire participations per se and may not be regarded as carrying out any of the activities listed under Annex I to the CRDIV, having regard to the definition of SSPE in point (66) of Article 4(1) CRR, which specifies that the corporate purpose of a SSPE is limited to the achievement of the securitisation purpose (i.e. “to isolate the obligations of the SSPE from those of the originator”) and so they are in principle not allowed to carry out any other financial activities. See also “EBA Opinion on other financial intermediaries (OFIs) and regulatory perimeter issues”.

As a result, exposures to SSPEs (or SPVs that qualify as SSPEs) should not be counted towards the report of the 10 largest exposures as specified in Article 394(2) CRR.

In any case it should be considered that according to Article 390(7) CRR “in order to determine the overall exposure to a client or a Group of connected clients, in respect of clients to which the institution has exposures through transactions referred to in points (m) and (o) of article 112 or through other transactions where there is an exposure to underlying assets, an institution shall assess its underlying exposures taking into account the economic substance of the structure of the transaction and the risks inherent in the structure of the transaction itself, in order to determine whether it constitutes an additional exposure”.