EBA欧洲银行-Harmonisation-and-standardisation-Christian-Moor-Massimiliano-Rimarchi-04-September-2017_5页_189kb

Summary of Harmonisation and Standardisation of Synthetic Securitisations

Core Content

This document provides an overview of synthetic securitisations, their structure, and the regulatory and supervisory considerations under the Capital Requirements Regulation (CRR) and the European Banking Authority (EBA) guidelines. It outlines the key differences between synthetic and traditional securitisations, the implications for risk transfer and capital requirements, and the ongoing efforts to harmonise and standardise synthetic securitisation practices across the European Union.

Main Objectives

• To explain the concept of synthetic securitisation and its distinction from traditional securitisation.
• To outline the regulatory and supervisory framework for assessing significant risk transfer (SRT) in synthetic transactions.
• To highlight the EBA's role in reviewing and improving the regulatory treatment of synthetic securitisations.
• To provide insights into the future development of a standardised framework for synthetic securitisation.

Key Definitions

• Synthetic securitisation: A process where the credit risk of a portfolio is transferred via a credit protection agreement, without transferring the ownership of the underlying exposures. The originator remains on the balance sheet, and the exposures become reference credits.
• True sale securitisation: Involves the actual transfer of the underlying portfolio to a special purpose entity (SPV), thereby removing the exposures from the originator's balance sheet.
• Significant risk transfer (SRT): Refers to the transfer of a meaningful portion of credit risk to third parties, which can lead to regulatory capital relief.

Types of Synthetic Securitisations

1. Balance sheet synthetic transactions:

   • The originator (usually a credit institution) transfers credit risk of its own portfolio to third parties.
   • The underlying exposures remain on the originator's balance sheet.
   • Not managed transactions; performance depends on the portfolio itself.
   • Used for credit risk management and concentration risk mitigation.

2. Arbitrage synthetic transactions:

   • Mainly CDOs (Collateralised Debt Obligations) or CSOs (Collateralised Synthetic Obligations).
   • Aim to arbitrage between higher spreads on underlying assets and lower spreads on structured notes.
   • Often include features like leverage, foreign currency pay-outs, and may be managed by portfolio managers.

Regulatory and Supervisory Framework

• CRR Article 244: Defines the quantitative SRT tests (first loss test and mezzanine test) to assess the significance of risk transfer.
• EBA Guidelines on SRT (2014): Specify detailed requirements for both competent authorities and originators.
• Continuous compliance: SRT must be assessed continuously throughout the life of the transaction, not just at the time of securitisation.
• Prudential focus: The EBA is tasked with reviewing market practices and supervisory approaches to ensure SRT is appropriately measured and reflects actual risk transfer.

EBA Mandate and Future Work

• The EBA is reviewing the implementation of SRT rules and is assessing the feasibility of a specific framework for simple, transparent and standardised (STS) synthetic securitisations.
• The EBA will provide advice to the European Commission by 2017 and submit a final report on SRT by 2019.
• The EBA aims to:
  • Strengthen the prudential framework for SRT.
  • Enhance regulatory certainty and clarity.
  • Harmonise structural features that may hinder SRT.
  • Ensure a level playing field across EU Member States.

STS Regulation and Synthetic Securitisations

• The new STS regulation (intended to come into force in 2018) establishes a framework for simple, transparent and standardised securitisations.
• Synthetic securitisations are generally classified as non-STS, but certain senior synthetic tranches of SME portfolios may qualify for STS treatment under specific conditions.
• The EBA is tasked with evaluating the feasibility of a framework for STS balance sheet synthetic securitisations.

Conclusion

• Synthetic securitisations offer flexibility and cost-effectiveness but introduce counterparty risk.
• The EBA plays a crucial role in harmonising and standardising SRT assessments.
• A transparent and robust synthetic securitisation market is seen as essential for the future of European banking and risk management.

Key Information

• Synthetic securitisations do not transfer ownership of underlying exposures.
• SRT tests in the CRR focus on capital requirements comparisons.
• Commissurate risk transfer is a qualitative criterion used by competent authorities.
• The STS regulation introduces lower capital requirements for eligible synthetic transactions.
• The EBA is actively working on a framework for standardised synthetic securitisations.