EBA欧洲银行-Draft-RTS-on-homogeneity-of-underlying-exposures-in-securitisation-28EBA-RTS-2018-02-29_58页_774kb

EBA Final Draft Regulatory Technical Standards on Homogeneity in Securitisation

Core Content

These draft Regulatory Technical Standards (RTS) are developed under Articles 20(14) and 24(21) of the Securitisation Regulation (EU) No 2017/2402. The RTS aim to define which underlying exposures are considered homogeneous in securitisation transactions, a key requirement for achieving simplicity, transparency, and standardisation (STS) in both non-ABCP and ABCP securitisations.

Main Objectives

• To ensure investors can perform robust due diligence by assessing underlying risks based on common methodologies and parameters.
• To support a more risk-sensitive regulatory treatment of securitisation transactions.
• To facilitate the alignment of securitisation practices with the STS framework.

Key Requirements for Homogeneity

The draft RTS outline four conditions that underlying exposures must meet to be considered homogeneous:

1. Underwriting Condition: Underwriting standards should be similar, with a consistent approach to credit risk assessment.
2. Servicing Condition: Servicing procedures should be similar, allowing for uniform cash flow analysis.
3. Asset Category Condition: All exposures in the pool must belong to the same asset category.
4. Homogeneity Factor Condition: For most asset categories, at least one homogeneity factor must be applied to ensure sufficient homogeneity.

Asset Categories

The following asset categories are specified in the draft RTS:

• Residential mortgages (secured by residential immovable property)
• Commercial mortgages (secured by commercial immovable property)
• Credit facilities to individuals for personal, family, and household consumption purposes (e.g., loans, leases)
• Credit facilities to enterprises and corporates (including SMEs)
• Auto loans and leases
• Credit card receivables
• Trade receivables (receivables from goods and services sales)

Note: The homogeneity factor condition does not apply to trade receivables and credit facilities to individuals, as these are considered sufficiently homogeneous by default.

Homogeneity Factors

For most asset categories, the following homogeneity factors are specified:

1. Type of obligor (e.g., individuals, SMEs, non-SME enterprises, public sector entities, financial institutions)
2. Ranking of security rights on a property (first ranking liens, lower ranking liens)
3. Type of immovable property (income-producing vs. non-income-producing)
4. Jurisdiction (location of the immovable property or obligor’s residency)

These factors are designed to ensure that the pool of exposures has consistent risk and cash flow characteristics, enabling uniform assessment by investors.

Special Considerations

• Non-ABCP and ABCP securitisations share the same homogeneity conditions, although ABCP securitisations may have additional transaction and programme-level considerations.
• The asset categorisation in the draft RTS is distinct from the credit risk categorisation used in capital requirements frameworks. It reflects common market practices and avoids unnecessary constraints on innovation.
• The homogeneity factor condition is not applied universally across all asset categories, as some are inherently homogeneous (e.g., trade receivables and individual credit facilities).
• Disclosure requirements are essential to support the determination of homogeneity, ensuring transparency and allowing third parties to assess the rationale behind the selection of homogeneity factors.

Scope and Flexibility

• The RTS provide high-level definitions for asset categories, allowing originators to classify exposures based on their internal practices and national legal frameworks.
• Each asset category has a minimum of two homogeneity factors to ensure flexibility for originators in structuring pools.
• The application of homogeneity factors is not mandatory for all asset categories; only a selection of at least one factor is required for most.

Conclusion

The draft RTS aim to ensure that securitisation transactions are homogeneous in terms of underlying exposures, thereby supporting the objectives of the EU securitisation framework. They provide a structured approach to define homogeneity, aligning with the broader goals of transparency, simplicity, and risk sensitivity in securitisation. The standards are designed to be practical and adaptable, with an emphasis on disclosure and flexibility in the application of homogeneity factors.