- covered bond
means a bond meeting the requirements of Article 129 of Regulation (EU) No 575/2013.
- covered bond entity
means the covered bond issuer or cover pool of a covered bond.’
- credit protection agreement
means an agreement concluded between the originator and the investor to transfer the credit risk of securitised exposures from the originator to the investor by means of credit derivatives or guarantees, whereby the originator commits to pay an amount, known as a credit protection premium, to the investor and the investor commits to pay an amount, known as a credit protection payment, to the originator in the event that one of the contractually defined credit events occurs;
- credit protection payment
means the amount the investor has committed to pay to the originator under the credit protection agreement in the event that a credit event defined in the credit protection agreement occurs;
- credit protection premium
means the amount the originator has committed to pay to the investor under the credit protection agreement for the credit protection promised by the investor;
- early amortisation provision
means a contractual clause in a securitisation of revolving exposures or a revolving securitisation which requires, on the occurrence of defined events, investors’ securitisation positions to be redeemed before the originally stated maturity of those positions;
- first loss tranche
means the most subordinated tranche in a securitisation that is the first tranche to bear losses incurred on the securitised exposures and thereby provides protection to the second loss and, where relevant, higher ranking tranches.
- fully supported ABCP transaction
means an ABCP transaction supported by a liquidity facility, at transaction level or at ABCP programme level, that covers at least all of the following:
- fully- supported ABCP programme
means an ABCP programme that its sponsor directly and fully supports by providing to the SSPE(s) one or more liquidity facilities covering at least all of the following:
- institutional investor
means an investor which is one of the following:
- investor
means a natural or legal person holding a securitisation position;
- liquidity facility
means the securitisation position arising from a contractual agreement to provide funding to ensure timeliness of cash flows to investors;
- non-refundable purchase price discount
means the difference between the outstanding balance of the exposures in the underlying pool and the price at which those exposures are sold by the originator to the SSPE, where neither the originator nor the original lender are reimbursed for that difference.
- NPE
means an exposure that meets any of the conditions set out in Article 47a(3) of Regulation (EU) No 575/2013;
- original lender
means an entity which, itself or through related entities, directly or indirectly, concluded the original agreement which created the obligations or potential obligations of the debtor or potential debtor giving rise to the exposures being securitised;
- originator
means an entity which:
- resecuritisation
means securitisation where at least one of the underlying exposures is a securitisation position;
- revolving exposure
means an exposure whereby borrowers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay, up to an agreed limit;
- revolving securitisation
means a securitisation where the securitisation structure itself revolves by exposures being added to or removed from the pool of exposures irrespective of whether the exposures revolve or not;
- 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:
- securitisation instrument
means a financial instrument or other assets resulting from a securitisation transaction or scheme referred to in Article 2(1) of Regulation (EU) 2017/2402 (Securitisation Regulation);’
- securitisation position
means an exposure to a securitisation;
- securitisation repository
means a legal person that centrally collects and maintains the records of securitisations.
- seller
means ‘originator’ or ‘original lender’.
- servicer
means an entity that manages a pool of purchased receivables or the underlying credit exposures on a day-to-day basis;
- sponsor
means a credit institution, whether located in the Union or not, as defined in point (1) of Article 4(1) of Regulation (EU) No 575/2013, or an investment firm as defined in point (1) of Article 4(1) of Directive 2014/65/EU other than an originator, that:
- SSPE
means a corporation, trust or other entity, other than an originator or sponsor, established for the purpose of carrying out one or more securitisations, the activities of which are limited to those appropriate to accomplishing that objective, the structure of which is intended to isolate the obligations of the SSPE from those of the originator;
- synthetic excess spread
means the amount that, according to the documentation of a synthetic securitisation, is contractually designated by the originator to absorb losses of the securitised exposures that might occur before the maturity date of the transaction;
- synthetic securitisation
means a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator;
- traditional securitisation
means a securitisation involving the transfer of the economic interest in the exposures being securitised through the transfer of ownership of those exposures from the originator to an SSPE or through sub-participation by an SSPE, where the securities issued do not represent payment obligations of the originator;
- tranche
means a contractually established segment of the credit risk associated with an exposure or a pool of exposures, where a position in the segment entails a risk of credit loss greater than or less than a position of the same amount in another segment, without taking account of credit protection provided by third parties directly to the holders of positions in the segment or in other segments;