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报告摘要

EBA Summary on Synthetic Securitisation

Core Content

The European Banking Authority (EBA) issued advice in December 2015 on synthetic securitisation, focusing on its regulatory treatment and performance. The report provides an overview of the market dynamics, performance metrics, and proposed technical amendments to the European Commission's (COM) securitisation proposal from September 2015.

Main Trends in Synthetic Securitisation

Peak issuance: Occurred in 2004/05 with a volume of 180 billion EUR, mostly involving arbitrage transactions (e.g., CDOs).
Post-2006 decline: Issuance decreased gradually, with a more significant drop in arbitrage transactions compared to balance sheet transactions.
Asset types: Balance sheet transactions were dominated by RMBS and CDOs, with CLOS and SME exposures being the most common within CDOs. CMBS and ABS had minor volumes.
Credit protection type: Unfunded credit protection was prevalent until 2008, after which funded protection became dominant.
Post-2008 activity: Most synthetic securitisation transactions were bilateral and did not involve rating agencies.

Performance Analysis

Default rates:
- Arbitrage synthetic tranches performed significantly worse than both balance sheet transactions and traditional securitisation.
- Balance sheet synthetic tranches showed performance comparable to traditional securitisation for high rating grades.
- For lower rating grades, balance sheet synthetics outperformed traditional securitisation.
SME exposure: High rating grades of synthetic tranches related to SME portfolios showed zero defaults, indicating strong performance.

EBA's Approach to Qualifying Treatment

The EBA supports the European Commission's proposal for preferential regulatory treatment (STS risk weight) for certain synthetic securitisation transactions, but emphasizes that expanding the scope of such treatment is premature. The qualifying treatment is limited to:

Balance sheet securitisation
SME exposures (at least 80%)
Senior tranches only
Retained by originator banks
Guaranteed by 0% risk-weighted public entities (e.g., central banks, central governments, multilateral development banks, international organizations)

Technical Amendments Suggested by EBA

The EBA proposes several technical amendments to the COM's proposal to better reflect the specificities of synthetic securitisation:

Extension to cash-funded credit protection:
- The framework should be extended to include fully cash-funded credit protection provided by private investors.
- This type of credit protection is immediately accessible and poses no risk to the beneficiary, aligning with the CRR's 0% risk weight on cash received for funding.
Amendments to eligibility criteria:
- Some criteria should be modified or eliminated to reflect the nature of synthetic securitisation.
- Focus should be placed on the originator rather than investor protection.
- Criteria that are solely for investor protection (e.g., enhanced transparency) should be disregarded.
New criteria added:
- Ensure qualifying treatment is limited to balance sheet transactions.
- Define criteria for eligible credit protection contracts and counterparties.
- Add criteria (3 to 7) to ensure the credit protection contract adequately protects the originator from a prudential perspective.

Key Observations

Balance sheet synthetic transactions generally perform better than arbitrage transactions.
There is strong evidence of zero defaults in highly rated SME synthetic tranches, but data for other asset classes is less conclusive.
The prudential treatment of originator-retained positions is crucial for the supply side of the synthetic securitisation market.
Investor positions are less relevant due to the composition of the investor base (primarily non-bank, sophisticated investors like hedge funds and pension funds).