General remarks: The EBA proposes to apply the conditions for determining the homogeneity of a traditional securitised portfolio to synthetic securitisations as well. In principle, we welcome this. In our view, however, the proposed amendments concerning the securitisation of exposures to individuals and enterprises have not been adequately thought through and need to be defined more precisely. This is mainly due to the fact that the exposures to be deemed homogeneous will often be assessed using different rating methods. -
Question 1: To take better account of the special features of securitisations of SME loans, the EBA would like to allow originators to securitise certain exposures to corporates together with exposures to retail customers for all types of securitisations. However, the prerequisite for this is that the same approach is used to assess credit risks for both types of exposures (Article 1, paragraph 1(a)(iii) of the proposed new Delegated Regulation (EU) 2019/1851). First, we would like to note that it is not clear what is meant by the “same […] approach”. If this means that the same rating method must be used for every debtor or that the same documents must be analysed, we do not believe that this criterion for determining homogeneity would serve a useful purpose. Corporate clients (both SMEs and others) provide different documentation compared to retail clients and, for this reason, they are often rated using different rating methods (i.e. separate methods for retail and corporate clients). The requirement to use the same approach should therefore only mean that a probability of default must be determined for the corresponding receivables, but it should be possible to determine homogeneity using different rating methods.
In the case of corporate exposures, it will in principle be possible to consider all exposures as a homogeneous portfolio. Only exposures to large corporates within the meaning of CRR III would be excluded from this (Article 2, paragraph 3(a) of the proposed new Delegated Regulation (EU) 2019/1851). The idea of creating a separate “large corporate” obligor type would not be beneficial in our view. Originators use different rating methods for receivables from companies and are not guided by the requirements of the CRR with regard to the turnover or the size of the company. In our opinion, therefore, an artificial demarcation along the lines of the CRR should be dispensed with when defining the homogeneity criteria.
Question 1: To take better account of the special features of securitisations of SME loans, the EBA would like to allow originators to securitise certain exposures to corporates together with exposures to retail customers for all types of securitisations. However, the prerequisite for this is that the same approach is used to assess credit risks for both types of exposures (Article 1, paragraph 1(a)(iii) of the proposed new Delegated Regulation (EU) 2019/1851). First, we would like to note that it is not clear what is meant by the “same […] approach”. If this means that the same rating method must be used for every debtor or that the same documents must be analysed, we do not believe that this criterion for determining homogeneity would serve a useful purpose. Corporate clients (both SMEs and others) provide different documentation compared to retail clients and, for this reason, they are often rated using different rating methods (i.e. separate methods for retail and corporate clients). The requirement to use the same approach should therefore only mean that a probability of default must be determined for the corresponding receivables, but it should be possible to determine homogeneity using different rating methods.