“Securitisation” means a transaction or scheme, whereby the credit risk associated with an exposure or a pool of exposures is tranched, having all of the following characteristics:
Payments in the transaction or scheme are dependent upon the performance of the exposure or of the pool of exposures
The subordination of tranches determines the distribution of losses during the ongoing life of the transaction or scheme
The transaction or scheme does not create exposures which possess all of the characteristics listed in Article 147(8) of Regulation (EU) No 575/2013
“Tranche” means a contractually established segment of credit risk […] where a position in the segment entails a risk of credit loss greater than or less […] another segment without taking account of credit protection provided by third parties […]
An institutional investor in the meaning of the Regulation may be a European Union-based:
Insurance or reinsurance undertakings
Institution for occupational retirement provisions
Alternative investment fund manager (“AIFM”)
Undertakings for the collective investment in transferable securities (“UCITS”) if internally managed, or otherwise its management company
Credit institutions or investment firms.
Due Diligence
Risk Retention
Transparency
Ban on Resecuritisations
Criteria for Credit Granting
For more details on the above requirements, please refer to our Securitisation Brochure
Xavier Balthazar
Advisory Partner, Asset Management, Regulatory & Compliance, PwC Luxembourg
Tel: +352 49 48 48 3299
Luc Petit
Tax Partner, Clients & Markets Hedge Funds Leader, PwC Luxembourg
Tel: +352 49 48 48 3148