EBA欧洲银行-Guidelines-on-STS-criteria-for-ABCP-securitisation_EN_27页_523kb

报告摘要

Status of Guidelines: These guidelines are issued under Article 16 of Regulation (EU) No 1093/2010 and are directed at competent authorities and other relevant entities.
Compliance Requirement: Competent authorities must comply with the guidelines by incorporating them into their supervisory practices, including legal frameworks and processes.
Reporting Deadline: Competent authorities must notify the EBA by a specified date whether they comply with the guidelines or provide reasons for non-compliance. Failure to do so will be considered non-compliance.
Notification Process: Notifications must be submitted using a form available on the EBA website to the email address compliance@eba.europa.eu with the reference 'EBA/GL/201x/xx'. Changes in compliance status must also be reported.

Subject Matter: The guidelines specify the STS (Simplification, Transparency, and Standardisation) criteria for asset-backed commercial paper (ABCP) securitisation, in line with Articles 24 and 26 of Regulation (EU) 2017/2402.
Scope of Application: These guidelines apply to both transaction-level and programme-level requirements of ABCP securitisations.
Addressees: The guidelines are addressed to competent authorities under Article 29(1) and (5) of Regulation (EU) 2017/2402 and other relevant entities within that Regulation's scope.

Eligibility of Underlying Exposures: Only exposures that meet the eligibility criteria as defined in Article 24(7) of Regulation (EU) 2017/2402 and are funded by commercial paper, liquidity facility, or other means are considered for transaction-level requirements.
Disclosure to Investors: Information required to be disclosed to investors must be made available at the ABCP transaction level, unless it is disclosed at the programme level in aggregate and anonymised form.
STS Compliance of Programmes: ABCP programmes that issue both STS-compliant and non-compliant commercial papers should not be considered STS securitisations.

Legal Effect: A true sale or equivalent legal transfer must be confirmed with a legal opinion from qualified counsel for the first ABCP transaction in a programme.
Accessibility: The legal opinion must be accessible to third parties verifying STS compliance and competent authorities.

Credit Quality Thresholds: The documentation must define objectively observable credit quality thresholds related to the seller's financial health.

Trigger Events: Insolvency of the seller must be defined in accordance with national legal frameworks, at least including legal insolvency.

Definition: Active portfolio management refers to strategies that depend on the performance of underlying exposures and are aimed at financial gains.
Exclusions: Certain actions, such as substitution due to breach, replenishment during revolving periods, or repurchase for recovery purposes, are not considered active portfolio management.

Determinability: Eligibility criteria must be clear enough to be determined by a court or tribunal, based on law or fact.

Default Definition: Exposures in default are defined according to Article 178 of Regulation (EU) 575/2013 and related delegated regulations.
Credit Impaired Debtors/Guarantors: Exposures to credit-impaired debtors or guarantors are prohibited unless there is recourse to a non-credit-impaired party.

Sources of Information: The 'best knowledge' standard is based on information from debtors, originators, third parties, or credit registries.
Exemption for Trade Receivables: Trade receivables not originated as loans are exempt from the credit granting criteria.

Restructured Exposures: Exposures that have undergone debt restructuring are not considered credit-impaired if they meet certain conditions.

Relevance: Debtors or guarantors must be flagged in a credit registry due to adverse credit history and relevant for credit risk assessment.

Mitigation Measures: Interest-rate and currency risks must be appropriately mitigated, either through derivatives or other robust measures.
Derivatives Use: Derivatives must be used for genuine hedging, not speculation, and follow ISDA or similar standards.
Collateralisation Requirements: Derivative documentation must include collateralisation or replacement measures if the counterparty's creditworthiness deteriorates.

Clear and Consistent Terms: All documentation must use consistent and precise terms to facilitate understanding by sponsors and other parties.
Payment Priority Reporting: Changes in payment priorities that affect repayment must be reported to investors and programme-level parties without undue delay.

External Data: If the seller cannot provide data, external data from public sources or third parties (e.g., rating agencies) may be used, provided other requirements are met.
Substantially Similar Exposures: Exposures must be similar in relevant factors and expected performance to be considered for STS compliance.
Exposures Not Limited to Originator's Balance Sheet: Substantially similar exposures may come from other entities.

Weighted Average Life (WAL): WAL is calculated based on principal repayments only, excluding prepayment assumptions and fees.
Maximum Maturity: Sellers may use the maximum maturity or WAL of the pool for calculations.
Contractually Binding Obligations: All obligations must be enforceable against debtors and guarantors.
Periodic Payment Streams: Exposures with defined periodic payments are allowed, including interest-only mortgages, credit card facilities, and temporary payment holidays.

Appropriate Reference Rates: Interest rates must be based on interbank rates, monetary policy rates, sectoral rates, or ABCP programme cost of funds.
Exclusion of Complex Instruments: Formulas or derivatives that are not plain vanilla (e.g., exotic instruments) are excluded unless they are used for interest-rate caps or floors.

Exceptional Circumstances: A list of exceptional circumstances, such as seller default or acceleration events, should be included in the documentation to provide clarity and transparency.

展开完整摘要