Criteria for STS Synthetic Securitisation

From Open Risk Manual

Definition

A set of proposed criteria to undepin the EBA's STS Framework for Synthetic Securitisation [1]

NB: These criteria have currently draft status

Criterion Category Criterion Summary
STS Simplicity STS Criterion 1. Balance sheet synthetic securitisation credit risk mitigation
STS Criterion 2. Representations and warranties
STS Criterion 3. Eligibility criteria no active portfolio management
STS Criterion 4. Homogeneity enforceable obligations full recourse to obligors period payment streams
STS Criterion 5. No transferable securities
STS Criterion 6. No resecuritisation
STS Criterion 7. Underwriting standards and material changes thereto
STS Criterion 8. Self-certified loans
STS Criterion 9. Borrowers creditworthiness
STS Criterion 10. Originators expertise
STS Criterion 11. No defaulted exposures or exposures subject to outstanding disputes
STS Criterion 12. At least one payment made
STS Criterion 13. No embedded maturity transformation
STS Standardisation STS Criterion 14. Risk retention requirements
STS Criterion 15. Appropriate mitigation of interest rate and currency risks
STS Criterion 16. Referenced interest payments
STS Criterion 17. Requirements after enforcement and acceleration notice
STS Criterion 18. Allocation of losses and amortisation of tranches
STS Criterion 19. Early amortisation provisions and triggers for termination of the revolving period
STS Criterion 20. Transaction documentation
STS Criterion 21. Servicers expertise
STS Criterion 22. Reference register
STS Criterion 23. Timely resolution of conflicts between investors
STS Transparency STS Criterion 24. Data on historical default and loss performance
STS Criterion 25. External verification of the sample
STS Criterion 26. Liability cash flow model
STS Criterion 27. Environmental performance of assets
STS Criterion 28. Compliance with transparency requirements
STS Synthetic STS Criterion 29. Credit events
STS Criterion 30. Credit protection payments
STS Criterion 31. Final settlement credit protection payments
STS Criterion 32. Credit protection premiums
STS Criterion 33. Verification agent
STS Criterion 34. Early termination events
STS Criterion 35. Excess spread
STS Criterion 36. Eligible credit protection agreement counterparties and collateral

References

  1. EBA/DP/2019/01

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