EBA欧洲银行-Guidelines-on-STS-criteria-for-non-ABCP-securitisation_EN_26页_383kb

Summary of EBA Guidelines on the STS Criteria for Non-ABCP Securitisation

1. Compliance and Reporting Obligations

• Status of Guidelines: These guidelines are issued under Article 16 of Regulation (EU) No 1093/2010 and are intended to be incorporated into the supervisory practices of competent authorities.
• Reporting Requirements: Competent authorities must notify the EBA by a specified date whether they comply with the guidelines, intend to comply, or have reasons for non-compliance. Notifications must be submitted via the EBA website using a specific form and reference. Any changes in compliance status must also be reported.

2. Subject Matter, Scope, and Definitions

• Subject Matter: The guidelines define the criteria for simplicity, standardisation, and transparency (STS) for non-Asset-Backed Commercial Paper (non-ABCP) securitisations.
• Scope of Application: They apply to the STS criteria under Articles 20, 21, and 22 of Regulation (EU) 2017/2402.
• Addressees: The guidelines are addressed to competent authorities under Article 29(1) and (5) of Regulation (EU) 2017/2402 and to other relevant parties under the scope of that regulation.

3. Implementation

• Date of Application: These guidelines apply from 15 May 2019.

4. Criteria Related to Simplicity

4.1 True Sale, Assignment or Transfer with the Same Legal Effect

• Requirements:
  • Confirmation of true sale or equivalent legal effect.
  • Enforceability of the true sale, assignment, or transfer.
  • Assessment of clawback and re-characterisation risks.
• Legal Opinion: A legal opinion from qualified external counsel is required, except for repeat issuances or master trusts using the same mechanism.

4.2 Eligibility Criteria for Underlying Exposures and Active Portfolio Management

• Active Portfolio Management:
  • Defined as management that affects securitisation performance through the underlying exposures or for speculative purposes.
• Eligibility Criteria:
  • Must be clear and determinable by courts or tribunals.
  • For securitisations with multiple series, eligibility criteria should be no less strict than those at the most recent issuance.
  • Should be specified in the transaction documentation and applied at the exposure level.

4.3 Homogeneity, Obligations of Underlying Exposures, Periodic Payment Streams, No Transferable Securities

• Contractually Binding Obligations:
  • All obligations affecting payments or security must be enforceable with full recourse to debtors and guarantors.
• Periodic Payment Streams:
  • Include exposures payable in single instalments in revolving securitisation, credit card facilities, interest-only mortgages, and exposures with temporary payment holidays.

4.4 Underwriting Standards, Originator's Expertise

• Similar Exposures:
  • Exposures must be similar in type, security, property, or jurisdiction.
  • Covered asset categories include residential loans, commercial loans, credit facilities for individuals, auto loans, credit card receivables, and trade receivables.
• Underwriting Standards:
  • Underwriting standards for securitised exposures should be no less stringent than those for similar exposures at origination.
  • Material changes to underwriting standards must be fully disclosed, especially those affecting credit risk or performance.
• Expertise of Originator or Original Lender:
  • Management and senior staff must have adequate knowledge and experience in origination.
  • Expertise is deemed sufficient if the entity has originated similar exposures for at least five years, or if key personnel have at least five years of relevant experience.

4.5 No Exposures in Default and to Credit-Impaired Debtors/Guarantors

• Exposures in Default:
  • Defined under Article 178(1) of Regulation (EU) 575/2013.
  • Originators or lenders not subject to Regulation (EU) 575/2013 should still comply with the guidance.
• Credit-Impaired Debtors/Guarantors:
  • Exposures to credit-impaired debtors or guarantors are prohibited unless there is recourse to a non-credit-impaired party.
  • Exposures to debtors or guarantors who have undergone debt restructuring are excluded if they meet certain conditions.
• Credit Registry:
  • Debtors or guarantors must be explicitly flagged in a credit registry with adverse credit history.

4.6 At Least One Payment Made

• Scope: Exposures must have at least one payment made at the time of transfer.
• Exclusions: Further advances to a borrower do not trigger a new payment requirement.

4.7 No Predominant Dependence on the Sale of Assets

• Conditions for Exemption:
  • Contractually agreed outstanding principal balance should not exceed 50% of the total initial exposure value.
  • Maturities should be sufficiently distributed.
  • Aggregate exposure value to a single obligor should not exceed 2% of the total.
• Exemption: If no underlying exposures depend on asset sales for repayment, this criterion does not apply.