Question
The EBA Validation Rule v11661_m states that: For all securitization programs (on-balance or off-balance) the attachment point (AP) of the senior tranche must be higher than the detachment point (DP) of the first loss tranche. Should this control be applicable?
Background on the question
The EBA Validation Rule v11661_m applicable to C14.00 COREP template states that for all securitization programs (on-balance or off-balance) the attachment point of the senior tranche must be higher than the detachment point of the first loss tranche. According to the Implementation Technical Standards, specific information related to attachment point / detachment point is not expected to be reported in case the institution does not hold any position. Therefore, if an institution does not hold any position (e.g. the senior tranche), this information should not be reported.
Answer
This question has been rejected because the matter it refers to is in the process of being answered inQ&A 6866.