STS Criterion 16. Referenced interest payments

Description

Referenced interest payments

Content

Any referenced interest payments under the securitisation assets and liabilities should be based on generally used market interest rates, or generally used sectoral rates reflective of the cost of funds, and should not reference complex formulae or derivatives.

Rationale

This criterion is less relevant for synthetics as the repayment of the securitisation positions is not dependent on the cash flows from the underlying exposures on a pass-through basis, and consequently there is less need for investors to understand the calculation of the interest payments on the underlying exposures. This information might however still be useful in particular with regard to public synthetic securitisations making use of an SSPE with various investors and the requirement should therefore be kept for consistency purposes.