EBA欧洲银行-Guidelines-on-STS-criteria-for-ABCP-securitisation_COR_DA_28页_584kb

Summary of EBA Guidelines on STS Criteria for ABCP Securitising

Core Content

These guidelines, issued by the European Banking Authority (EBA) under Article 16 of Regulation (EU) No 1093/2010, provide supervisory practices for securitizations involving Asset-Backed Commercial Paper (ABCP). The guidelines are aimed at competent authorities and other relevant entities, and they must be incorporated into their supervisory practices to the extent necessary.

Main Objectives

• To ensure transparency, simplicity, and standardization in ABCP securitizations.
• To clarify the conditions under which ABCP securitizations can be classified as "Simple, Transparent, and Standardized" (STS).
• To define the scope and application of STS criteria for underlying exposures and transactions.

Key Information

Reporting Obligations

• Competent authorities must report to the EBA by a specific deadline (to be filled) whether they have implemented or intend to implement the guidelines.
• Any changes in the status of compliance with the guidelines must also be reported.
• Reports are to be submitted by individuals authorized to report on behalf of the competent authorities.
• Reports are published on the EBA’s website in accordance with Article 16(3) of Regulation (EU) No 1093/2010.

Scope and Application

• These guidelines apply to transaction and program-level requirements for ABCP securitizations.
• They are aligned with the application scope of Regulation (EU) 2017/2402, specifically Article 1.
• The guidelines are directed at competent authorities and other entities involved in the application scope of Regulation (EU) 2017/2402.

Effective Date

• The guidelines are effective from 15 May 2019.

STS Criteria at Transaction Level

1. True Sale, Assignment, or Transfer with Equivalent Legal Effect

• A true sale, assignment, or transfer with equivalent legal effect must be confirmed.
• This includes:
  • A legal opinion from a qualified legal advisor for the first ABCP transaction in a program.
  • The legal opinion must be available to all relevant third parties and competent authorities.

2. Credit Quality Thresholds

• Credit quality thresholds must be objectively observable and relate to the seller's financial health.
• Mislabeled exposures (e.g., against credit-impaired borrowers or guarantees) are excluded.

3. No Exposures Against Credit-Weak Borrowers or Guarantees

• Exposures against credit-weak borrowers or guarantees that have undergone a restructuring process are excluded.
• The credit-weak status is determined by the following:
  • Being marked in a credit register due to a negative status or information.
  • Being relevant for credit risk assessment.

4. No Significant Exposure to Credit-Weak Entities

• Exposures to entities that are credit-weak or have undergone restructuring are not allowed.
• If an exposure is secured by assets that are guaranteed or fully protected by a repurchase obligation, the seller and third parties must:
  • Not be insolvent.
  • Not be expected to fail to meet obligations under the guarantee or repurchase obligation.

5. Appropriate Limitation of Interest and Currency Risks

• Appropriate risk mitigation measures must be in place.
• These can include:
  • Derivatives or other risk-mitigation instruments.
  • Documentation must be based on internationally recognized standards (e.g., ISDA) or national standards.
  • If the counterparty lacks sufficient creditworthiness, the documentation must include provisions for collateral or alternative counterparty.

STS Criteria at Program Level

1. No Significant Dependence on Asset Sales

• Transactions where all underlying exposures are dependent on the sale of assets to repay the outstanding principal are limited.
• The following conditions must be met:
  • The outstanding principal balance at maturity should not exceed 50% of the total original exposure value.
  • The maturity should not be concentrated and should be reasonably distributed over the transaction period.
  • Exposure to a single borrower should not exceed 2% of the total underlying exposure value.

2. Homogeneity of Underlying Exposures

• Underlying exposures must be homogeneous and meet the following:
  • The same legal and contractual terms apply across all exposures.
  • Exposures should not be classified as doubtful, impaired, or similar in accordance with relevant accounting principles.

3. Periodic Payment Streams

• Exposures with periodic payment streams include:
  • Payments in one installment in the case of revolving securitizations.
  • Credit card facilities.
  • Exposures with interest rates and principal repayment at maturity.
  • Exposures with interest rates and partial principal repayment, where principal is repaid at maturity or depends on asset sales.
  • Temporary payment pauses agreed upon between borrowers and lenders.

4. Reference Interest Rates

• Reference interest rates must be based on:
  • Interbank rates (e.g., Libor, Euribor, their successors).
  • Rates set by monetary authorities (e.g., FED funds rates, central bank discount rates).
  • Sector-specific rates reflecting financing costs, including standard variable rates and internal rates.

5. Historical Data and Performance Indicators

• External data, such as publicly available or from third parties (e.g., credit rating agencies), can be used if the seller cannot provide the required data.
• "Substantially Equivalent Exposures" refer to exposures that meet the following:
  • The same relevant factors determine their expected development.
  • Their development is reasonably expected to be similar to other exposures over the transaction period or a four-year period, if longer.

Conclusion

These guidelines aim to ensure that ABCP securitizations meet the STS criteria, promoting transparency, standardization, and simplicity. They cover transaction and program-level requirements, including legal effect, credit quality, risk mitigation, and payment structures. The effective date is 15 May 2019, and compliance must be reported to the EBA.