The EBA calls on the European Commission to harmonise the significant risk transfer assessment in securitisation

The European Banking Authority (EBA) publishes today a Report on significant risk transfer (SRT) in securitisation transactions, which includes a set of detailed recommendations to the European Commission on the harmonisation of practices and processes applicable to the SRT assessment. The EBA proposals aim to enhance the efficiency, consistency and predictability of the supervisory SRT assessment within the current securitisation framework.

The SRT Report makes recommendations in three key areas where greater harmonisation of supervisory practices would enhance the efficiency and improve convergence outcomes of the supervisory SRT assessments:  

• assessment of structural features of securitisation transactions;
• application of the SRT quantitative tests;
• supervisory process for assessing SRT in individual transactions.

The recommendations on supervisory process are aimed at facilitating and speeding up supervisory decision-making on SRT, without compromising the quality and thoroughness of the assessment.  The clear classification of complex structural features between those ineligible for SRT, and those that need to comply with a set of safeguards for a fast-track assessment, will provide clarity to market participants and support an effective supervisory assessment.

In addition, the EBA has identified shortcomings in certain CRR provisions currently in force that are significantly detrimental to the effectiveness of the supervisory assessment of SRT.  Accordingly, the Report sets out several recommendations on desirable amendments to the CRR that could correct those shortcomings and improve the SRT framework.

Legal basis and background

This Report has been prepared in accordance with the mandate laid down in the respective paragraphs (6) of Articles 244 and 245 of the CRR.

This Report, which builds on the EBA's monitoring activity of supervisory practices in the area of SRT since 2014 and on the EBA Discussion Paper on SRT published in September 2017, informs the Delegated Act that the European Commission may adopt to harmonise the interpretation of those provisions and, thus, the substantive aspects of the EU supervisory SRT framework.