SPAIN Law and Practice Contributed by: Jaime de la Torre and Jaime Juan Rodríguez, Cuatrecasas
4.3 Credit Risk Retention Spanish regulations do not contain specific risk retention requirements for securitisation trans - actions; the applicable legal framework is to be found in Article 6 of the Securitisation Regula - tion, which establishes the obligation of the originator, sponsor and original lender to retain a material net economic interest of not less than 5% of the nominal value of the securitisation. Such economic net interest shall be measured at the origination date, maintained throughout the securitisation transaction and determined by the notional value for off-balance sheet items. Furthermore, the net economic interest cannot be sold, divided between different retainers nor subject to any credit-risk mitigation, any short positions or any other hedging. The Securitisation Regulation sets forth alterna - tive procedures with the retention of the follow - ing to comply with requirements: • no less than 5% of the nominal value of each of the tranches sold; • the originator’s interest of no less than 5% of the nominal value of each of the securitised exposures (in revolving securitisations or securitisations of revolving exposures); • randomly selected exposures, equivalent to no less than 5% of the nominal value of the securitised exposures, where such exposures would otherwise have been securitised in the securitisation and the number of potentially securitised exposures is not less than 100 at origination; • the first loss tranche and, where such reten - tion does not amount to 5% of the nominal value of the securitised exposures, if neces - sary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any ear -
• the annual/quarterly reports (see 4.4 Periodic Reporting ). European Level SPEs are generally subject to the disclosure requirements envisaged under the Securitisation Regulation (see 4.2 General Disclosure Laws or Regulations ). 4.2 General Disclosure Laws or Regulations Disclosure to Investors and National Supervisory Body According to the Securitisation Regulation, SPEs shall make the following information regarding the securitisation available to the CNMV and investors before pricing (and also to potential investors if they so require): • all underlying documentation that is essential for the understanding of the transaction; • where a prospectus has not been drawn up, a transaction summary/overview of the main features of the securitisation; and • in simple, transparent and standardised (STS) securitisations, the STS notification. Disclosure to Securitisation Repository In public deals, according to the Securitisa - tion Regulation, disclosures must be made to a securitisation repository – ie, an entity duly regis - tered with the European Securities and Markets Authority (ESMA) for that purpose. The means of disclosure for private deals, on the other hand, is not prescribed. According to ESMA, “absent any instructions or guidance provided by nation - al competent authorities, reporting entities are free to make use of any arrangements that meet the conditions of the Regulation”.
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