STS Criterion 24. Data on historical default and loss performance

Description

Data on historical default and loss performance

Content

The originator should make available data on static and dynamic historical default and loss performance, such as delinquency and default data, for substantially similar exposures to those being securitised, and the sources of those data and the basis for claiming similarity, to potential investors before pricing. Those data should cover a period of at least five years.

Rationale

See overarching rationale for consistency with traditional qualifying framework.

As the first criterion on simplicity requires that the protection buyer under the credit protection arrangements is an originator with respect to the securitised exposures and according to the sponsor definition pursuant to Article 2(5) of the Securitisation Regulation only credit institutions or investment firms other than the originator can qualify as a sponsor, the obligation in terms of making data available has been limited to the originator for synthetic securitisation.