EBA欧洲银行-Presentation-on-CP-on-Homogeneity-of-underlying-exposures-in-securitisation_10页_1mb

EBA Consultation on Regulatory Technical Standards for Homogeneity in Securitisation

Core Content

The European Banking Authority (EBA) conducted a public hearing on 19 February 2018 to consult on regulatory technical standards (RTS) regarding the homogeneity of underlying exposures in securitisation transactions. The objective is to ensure that securitisation transactions are backed by pools of exposures that are homogeneous in terms of asset type and risk characteristics, thereby enabling investors to perform robust due diligence and assess underlying risks effectively.

Legal Mandate

The EBA is mandated under:

• Article 20(14) of the Securitisation Regulation for non-Asset-Backed Commercial Paper (ABCP) transactions.
• Article 24(21) for ABCP transactions.

These articles require the EBA, in cooperation with ESMA and EIOPA, to develop RTS that specify which underlying exposures are considered homogeneous.

Definition of Homogeneity

Paragraph 8 of the Securitisation Regulation states that securitisation transactions must be backed by a pool of exposures that are homogeneous in terms of asset type, including their contractual, credit-risk, and prepayment characteristics. It further specifies that a pool must consist of only one asset type.

Key Objectives

The overarching objective of defining homogeneity is to:

• Ensure similar risk profiles and cash flow characteristics among underlying exposures.
• Enable investors to assess underlying risks using common methodologies and parameters.

Asset Categories

The EBA proposed a non-exhaustive list of asset categories, reflecting market practice and allowing for cross-sectoral application. These include:

• Residential loans secured with mortgages on residential immovable property or fully guaranteed by an eligible protection.
• Commercial loans secured with a mortgage on commercial immovable property (e.g., offices, other commercial premises).
• Credit facilities to natural persons.
• Credit facilities to SMEs and corporates.
• Auto loans and leases.
• Credit card receivables.
• Trade receivables.

These categories are defined at a high level, providing flexibility for different types of securitisation.

Risk Factors

The EBA outlined a closed list of risk factors to be considered in determining homogeneity. These include:

• Type of obligor: natural person, SME borrower, non-SME corporate borrower, financial institution, and public sector entities.
• Collateral provided: collateralised or uncollateralised claims.
• Seniority on liquidation of the property/collateral: higher ranking liens or no higher ranking liens on a different property or collateral.
• Type of credit facility: loan, lease, purchase, hire, and revolving credit.
• Object of financing: automobiles, real estate, commodities, general consumption, or business purposes.
• Type of repayment/amortisation: fully amortising, balloon, or bullet.
• Jurisdiction of property/obligor: relevant for certain categories.
• Governing law: relevant for certain categories.

The mapping of these risk factors to asset categories indicates which factors are already reflected, to be considered, or irrelevant depending on the type of underlying exposure.

Alternative Approaches

The EBA proposed two approaches for defining homogeneity:

1. Main Proposal:

   • Similar underwriting standards.
   • Uniform servicing procedures.
   • One asset category.
   • Application of at least one relevant risk factor and disclosure.

2. Alternative Proposal:

   • Similar underwriting standards.
   • Uniform servicing procedures.
   • One asset category.

The EBA seeks feedback on which approach provides more clarity and certainty.

Questions for Consultation

The EBA posed several questions for stakeholders to consider:

• Does the approach to defining homogeneity provide sufficient clarity and certainty, taking into account the basic assumptions?
• Should the underwriting criterion be further specified?
• Do you agree with the list of asset categories?
• Do you agree with the list of risk factors?
• Which of the two approaches (main or alternative) provides more clarity and certainty?

Summary

The EBA aims to enhance transparency and investor protection in securitisation by defining homogeneity based on asset type and risk characteristics. It emphasizes the importance of similar underwriting standards, uniform servicing procedures, and the application of relevant risk factors. The consultation seeks to refine the regulatory framework and ensure it aligns with market practices while promoting clarity and consistency.