Final draft adopted by the EBA and submitted to the European Commission
The Regulatory Technical Standards (RTS) on the homogeneity of the underlying exposures in STS securitisation aim to facilitate the assessment of underlying risks in a pool of underlying exposures and to enable investors to perform robust due diligence.
The European Banking Authority (EBA) launched today a public consultation on draft Regulatory Technical Standards (RTS) specifying the criteria for the underlying exposures in securitisation to be deemed homogeneous. Such specification is part of the requirements under the Securitisation Regulation and as amended by the Capital Markets Recovery Package (CMRP). The homogeneity requirement aims to facilitate the assessment of underlying risks in a pool of underlying exposures and to enable investors to perform robust due diligence. The consultation runs until 28 October 2022.
These draft RTS will be amending the Commission Delegated Regulation (EU) 2019/1851 (existing RTS) and will be applicable to all securitisations, including asset-backed commercial paper (ABCP), non-ABCP and on-balance-sheet securitisations.
The draft RTS carry over the provisions on homogeneity set out in the existing RTS with some modifications. While extending the scope to on-balance-sheet securitisations, these draft RTS establish the same criteria for the assessment of homogeneity for all securitisations.
Considering the relevance of corporate and SME loans in the context of synthetic securitisations, adjustments have been made to one of the homogeneity factors, the type of obligor, to reflect the current market practices and the credit risk assessment approaches applied to those asset types. Moreover, to ensure consistency, similar changes are made to the respective homogeneity factor for all relevant asset types. Finally, these draft RTS specify further the asset type for credit facilities provided to enterprises, where similar underwriting standards are applied as for individuals.
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 28 October 2022.
A public hearing will take place via conference call on 28 September 2022 from 10:30 to 12:30 (CET).
The draft RTS have been developed in accordance with Articles 20(14) and 24(21) and 26b(13) of Regulation (EU) 2017/2402 (the Securitisation Regulation) as amended by Regulation (EU) 2021/557 of 31 March 2021 (as part of the Capital Markets Recovery Package). Article 20(14), which is applicable to non-ABCP securitisation, mandates the EBA, in close cooperation with ESMA and EIOPA, to develop the RTS further specifying which underlying exposures are deemed to be homogeneous. Article 24(21) establishes a corresponding mandate for ABCP securitisations and Article 26b(13) of the Securitisation Regulation as amended by the CMRP establishes the respective mandate for on-balance-sheet securitisations.
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) setting out the conditions for the assessment of the homogeneity of the underlying exposures in a pool of a Simple Transparent and Standardised (STS) on-balance-sheet securitisation. Homogeneity is one of the key simplicity requirements enabling originators and investors to properly assess the underlying risks while facilitating investors due diligence.
The EBA has extended the existing work on the RTS on homogeneity for both asset-backed commercial paper (ABCP) and non-ABCP securitisation in order to ensure consistency for on-balance-sheet securitisation to the overall STS framework. Therefore, these draft RTS are amending the Delegated Commission Regulation (EU) 2019/1851 by extending the scope to on-balance-sheet securitisations considering the specificities of these securitisations. The existing provisions set out in the 2019 Commission Delegated Regulation are maintained, although with minor modifications so asto ensure consistency with the new mandate for on-balance-sheet securitisations and to provide further clarity on specific requirements.
In particular, these RTS clarify that also for on-balance-sheet securitisations, homogeneous exposures need to be underwritten according to similar underwriting standards and serviced according to similar servicing procedures. In addition, they need to fall within the same asset category specified therein and be further assessed with reference to at least one of the homogeneity factors, such as type of obligor, ranking of security rights, jurisdiction, or type of immovable property.
Finally, in order to ensure a continuation of existing securitisation transactions, transitional provisions have been introduced for those securitisations who have been notified as STS and whose securities were issued before its application date. This ensures that existing transactions will continue to remain STS compliant.
The draft RTS have been developed according to Articles 20(14), 24(21) and 26b(13) of the Regulation (EU) 2017/2402 (the Securitisation Regulation) as amended by Regulation (EU) 2021/557 (as part of the Capital Markets Recovery Package). Articles 20(14) and 24(21), mandated the EBA, in close cooperation with ESMA and EIOPA, to develop the RTS further specifying which underlying exposures are deemed to be homogeneous for non-ABCP and ABCP securitisations accordingly. Article 26b(13) established a corresponding mandate for on-balance-sheet securitisations.
The European Banking Authority (EBA) launched today a public consultation on draft Regulatory Technical Standards (RTS) specifying the criteria for the underlying exposures in securitisation to be deemed homogeneous. Such specification is part of the requirements under the Securitisation Regulation and as amended by the Capital Markets Recovery Package (CMRP). The homogeneity requirement aims to facilitate the assessment of underlying risks in a pool of underlying exposures and to enable investors to perform robust due diligence. The consultation runs until 28 October 2022.
These draft RTS will be amending the Commission Delegated Regulation (EU) 2019/1851 (existing RTS) and will be applicable to all securitisations, including asset-backed commercial paper (ABCP), non-ABCP and on-balance-sheet securitisations.
The draft RTS carry over the provisions on homogeneity set out in the existing RTS with some modifications. While extending the scope to on-balance-sheet securitisations, these draft RTS establish the same criteria for the assessment of homogeneity for all securitisations.
Considering the relevance of corporate and SME loans in the context of synthetic securitisations, adjustments have been made to one of the homogeneity factors, the type of obligor, to reflect the current market practices and the credit risk assessment approaches applied to those asset types. Moreover, to ensure consistency, similar changes are made to the respective homogeneity factor for all relevant asset types. Finally, these draft RTS specify further the asset type for credit facilities provided to enterprises, where similar underwriting standards are applied as for individuals.
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 28 October 2022.
A public hearing will take place via conference call on 28 September 2022 from 10:30 to 12:30 (CET).
The draft RTS have been developed in accordance with Articles 20(14) and 24(21) and 26b(13) of Regulation (EU) 2017/2402 (the Securitisation Regulation) as amended by Regulation (EU) 2021/557 of 31 March 2021 (as part of the Capital Markets Recovery Package). Article 20(14), which is applicable to non-ABCP securitisation, mandates the EBA, in close cooperation with ESMA and EIOPA, to develop the RTS further specifying which underlying exposures are deemed to be homogeneous. Article 24(21) establishes a corresponding mandate for ABCP securitisations and Article 26b(13) of the Securitisation Regulation as amended by the CMRP establishes the respective mandate for on-balance-sheet securitisations.