Criteria for STS Synthetic Securitisation

Definition

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

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