EBA欧洲银行-Public-hearing-on-Guidelines-on-interpretation-of-STS-criteria-Public-hearing-11-June-2018_17页_1mb

报告摘要

EBA Consultation Paper on the Guidelines on Interpretation of STS Criteria Summary

Overview

The European Banking Authority (EBA) issued a consultation paper on the guidelines for the interpretation of Simplified and Standardised Securitisation (STS) criteria under the Securitisation Regulation (EU) 2015/631. The aim is to ensure a harmonised and consistent application of STS requirements across the European Union, facilitating cross-border investment and maintaining investor confidence.

Key Mandates

Non-ABCP Securitisation (Article 19(2)):
The EBA, in cooperation with ESMA and EIOPA, must adopt guidelines by 18 October 2018 on the interpretation of Articles 20 (Simplicity), 21 (Standardisation), and 22 (Transparency).
ABCP Securitisation (Article 23(3)):
The EBA must also adopt guidelines on Articles 24 (Transaction-level) and 26 (Programme-level) by the same deadline.
Recital 20:
The EBA should develop guidelines to ensure a common understanding of STS requirements, avoiding divergent interpretations across Member States. ESMA should also play an active role in addressing interpretation issues.

Approach to Guidelines Development

Single Point of Interpretation: A consistent and unified interpretation of STS criteria is required.
Cross-sectoral Application: Guidelines apply to originators, sponsors, Special Purpose Entities (SPEs), investors, competent authorities, and third-party certifiers.
Traffic Light Approach:
- Green: Self-explanatory and straightforward, with interpretation beneficial for correct implementation.
- Yellow: Substantial uncertainty or ambiguity, requiring essential interpretation.
- Red: Not possible to interpret consistently, requiring crucial interpretation.

Key Criteria and EBA Interpretations

Non-ABCP Securitisation

Red Criteria (Need Additional Guidance)

Originator's and servicer's expertise in originating/servicing similar exposures (Art. 20.10, 21.8)
No exposures in default or to credit-impaired debtor/guarantor (Art. 20.11)
No predominant dependence on the sale of assets (Art. 20.13)

Yellow Criteria (Substantial Uncertainty)

True sale, assignment, or transfer (Art. 20.1–20.5)
Eligibility criteria and active portfolio management (Art. 20.7)
Mitigation of interest-rate and currency risks (Art. 21.2)
Resolution of investor conflicts (Art. 21.10)
Environmental performance of assets (Art. 22.4)

Green Criteria (Self-explanatory)

Representations and warranties (Art. 20.6)
Homogeneity, periodic payment streams, no transferable securities (Art. 20.8)
No resecuritisation (Art. 20.9)
At least one payment made (Art. 20.12)
Risk retention (Art. 21.1)
Transaction documentation (Art. 21.7)
Remedies for delinquency and default (Art. 21.9)
Data on historical default and loss performance (Art. 22.1)
Verification of a sample of underlying exposures (Art. 22.2)
Liability cash flow model (Art. 22.3)
Compliance with transparency requirements (Art. 22.5)

ABCP Securitisation

Red Criteria (Need Additional Guidance)

No exposures in default or to credit-impaired debtor/guarantor (Art. 24.9)
No predominant dependence on the sale of assets (Art. 24.11)
Seller, sponsor, and servicer expertise (Art. 24.18, 26.7, 26.8)

Yellow Criteria (Substantial Uncertainty)

True sale, assignment, or transfer (Art. 24.1–24.5)
Eligibility criteria and active portfolio management (Art. 24.7)
Mitigation of interest-rate and currency risks (Art. 24.12, 26.6)
Underwriting standards (Art. 24.18)
Obligations of underlying exposures (Art. 24.15)
Temporary non-compliance (Art. 26.1)
Documentation of ABCP programme (Art. 26.7)

Green Criteria (Self-explanatory)

Representations and warranties (Art. 24.6)
At least one payment made (Art. 24.10)
Remedies for delinquency and default (Art. 24.13)
Data on historical default and loss performance (Art. 24.14)
Homogeneity, periodic payment streams, no transferable securities (Art. 24.15)
Referenced interest payments (Art. 24.16)
Following enforcement, acceleration (Art. 24.17)
Triggers for termination of revolving period (Art. 24.19)
Transaction documentation (Art. 24.20)
Remaining weighted average life (Art. 26.2)
No resecuritisation (Art. 24.8, 26.4)
No call options (Art. 26.5)
Full support by sponsor (Art. 26.3)

Comparison of Interpretations

For criteria unique to ABCP, new guidance is provided. For overlapping criteria, interpretations are adapted or extended to suit ABCP specifics. Key shared interpretations include: