Difference between revisions of "Criteria for STS Synthetic Securitisation"

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Latest revision as of 13:52, 12 October 2019

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

References

  1. EBA/DP/2019/01

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