EBA consulted on new draft Guidelines on criteria related to simplicity, standardization, transparency and additional criteria for on-balance-sheet securitizations (STS criteria).
New Guidelines will ensure there is a harmonized interpretation of all STS criteria, that is in alignment with current EBA Guidelines for traditional securitizations, see #50581.
With the introduction of new STS criteria for all the on-balance-sheet securitizations in the Securitization Regulation, on-balance-sheet securitizations are now eligible for preferential risk-weight treatment under the Capital Requirements Regulation (CRR).
The draft Guidelines will provide a harmonized interpretation and clarify aspects with a potential level of ambiguity, thus both ensuring a harmonized understanding of the criteria, but also a fully harmonized implementation in terms of capital requirements.
During development, EBA has been mindful in ensuring consistency with Guidelines for traditional securitizations (ABCP and non-ABCP), which has provided a single point of consistent interpretation of STS criteria to the relevant stakeholders throughout EU.
Draft Guidelines propose targeted changes to the Guidelines for non-ABCP and ABCP.
Consultation
The Consultation Paper is composed of two sections, with the main section including the full text of the new draft Guidelines for all of the on-balance-sheet securitizations.
The second section includes targeted amendments to the Guidelines for non-ABCP and ABCP securitization to ensure interpretation by EBA is consistent across all Guidelines.
A public hearing will occur, requiring registration, via conference call, on May 30. 2023.
Effectiveness
Any responses on this new consultation can now be sent to the EBA until Jul. 7, 2023.
May 30, 2023 Public Hearing Presentation
On May 30, 2023, EU EBA issued presentation from public hearing on the consultation.
Set out timeline for conclusion of guidelines, mandate for their production, objective.
Interactions with EBA guidelines for traditional securitization, overview of interpreted STS criteria, new criteria for synthetic securitization, adapted guidance for synthetics.
Noted timeline for next steps, final guidelines expected in Q3 2023 or Q1 2024.
Also includes feedback statement summarizing key points of the 11 responses received to the proposals and any actions taken to address them if deemed necessary by EBA.
On requirements relating to simplicity, concerns were raised on interpretation of term at least one payment, guidance has been amended and the payment is not limited to the economic substance of the exposure but refers to any ordinary payment.
Changes also made to guidelines re requirements on standardization and transparency with aim of providing further clarity and in order to ensure consistency with other RTS.
Several amendments made re consistency with RTS on determination of the exposure value of the synthetic excess spread (SES), published after guidelines consultation.
The final guidelines provide a harmonized interpretation of the STS criteria, focus on clarifying criteria with potential aspects of ambiguity, aim for common understanding.
Aim to provide single point of consistent interpretation to stakeholders throughout EU.
Will be applied on cross-sectoral basis with aim of facilitating adoption of STS criteria.
Following finalization, the guidelines will be translated into the official EU languages and published on EBA's website, will apply from 2 months after that publication.
Oct. 7, 2024 Translations Published
On Oct. 7, 2024, EU EBA published the translations of the Guidelines on STS criteria for on-balance-sheet securitization in all official European Union languages.
The Guidelines will apply from Dec. 9, 2024, competent authorities must notify EBA as to whether they comply or intend to comply with the guidelines by that date.
Regulators
EU EBA
Entity Types
B/D; Bank; MG Orig; Servicer
Reference
Trsl EBA/GL/2024/05, 10/7/2024; Rp EBA/GL/2024/05, FS, PR, 5/27/2024; Gd, Mt 5/30/2023; CP EBA/CP/2023/09, PR 4/21/2023; CRD/CRR Dir 2013/36, Reg 575/2013; SR Reg 2017/2402
