Question
Range of applicability of validation rules v11662_m and v11663_m introduced with DPM 3.2 in force starting from June 2023.
Background on the question
The above-mentioned validation rules require that Attachment and Detachment points should always be reported when Senior (column 0230) and/or Junior (column 0250) tranches are reported. However, when all the notes of the securitisation are fully retained by the originator and the securitised exposures are consequently kept in the balance sheet (e.g. self-securitisations) no risk is transferred outside of the originating institution. Thus, in this context Attachment and Detachment points are divested of significance from a substantial point of view, considering the risk neutrality for the Bank acting as originator and as sole bondholder. In addition, Annex II instructions refer to Article 256 paragraphs (1) and (2) of Reg. 2401/2017 for Attachment and Detachment points respectively. From this point of view the above-mentioned article should only be applicable to securitisations with Significant Risk Transfer that fall under the CRR securitisation framework.
Answer
This question has been rejected because the matter it refers to is in the process of being answered inQ&A 6866.