+Guidelines on significant risk transfer (SRT) for securitisation transactions (EBA/GL/2014/05)
---+3. EBA Guidelines on significant risk transfer for securitisation transactions
------+Status of these Guidelines
------+Reporting Requirements
------+Title I – Scope of application and general principles
---------+1. Scope of application
---------+1. These Guidelines apply to: a. originator institutions subject to Article 243 and 244 of …
---------+2. Originator institutions should apply (i) the general requirements set out in these Guidelines …
---------+3. Competent authorities should apply these Guidelines in the following situations: a. when …
---------+4. In addition to the data to be provided to the EBA in accordance with Articles 243(6) and 244(6) …
---------+1. Fulfilment of the conditions laid down in points (a) or (b) of either of the Articles 243(2) or …
---------+2. Competent authorities should ensure that procedures exist for the identification of such …
---------+3. The conditions for achieving SRT to third parties should be satisfied on a continuous basis.
---------+4. Originator institutions should assess the reliance placed on external credit assessments in …
------+Title II- Criteria for competent authorities in case of application of Article 243(2) or Article 244(2) of Regulation (EU) No 575/2013
---------+1. With regard to those securitisation transactions meeting the conditions for achieving SRT in …
------+Title III - Requirements for competent authorities in case of application of Article 243 (4) or Article 244 (4) of Regulation (EU) No 575/2013 and in case of application of Article 243(2) or Article 244(2) of Regulation (EU) No 575/2013 where any of the circumstances in accordance with Title II applies
---------+4. Assessment of the significance of the credit risk transfer
---------+1. Competent authorities should assess the documentation and evidence provided by the originator …
---------+2. Competent authorities should consider whether the originator institution has sufficient …
---------+3. In the case where the originator institution is relying on the supervisory formula to determine …
---------+5. Assessment of structural features
---------+1. Competent authorities should assess if there are structural features in a transaction which …
---------+2. For traditional securitisations, only the following call options granted to originator …
---------+3. Furthermore, and to avoid any uncertainty, for traditional securitisation, any option granted to …
---------+4. For synthetic securitisations, any option granted to securitisation investors or credit …
---------+5. Competent authorities should consider if the originator institution has in the past repurchased …
---------+6. Where transactions include replenishment periods, competent authorities should consider the …
---------+7. Competent authorities should consider that transactions do not include any embedded mechanism at …
---------+1. Competent authorities should consider if there are maturity or currency mismatches between the …
---------+2. Competent authorities should assess maturity mismatches for transactions where asset pools are …
---------+3. Competent authorities should assess currency mismatches for transactions where asset pools …
---------+1. Where the securitisation is achieved synthetically using a credit derivative or a guarantee …
---------+2. Competent authorities should consider the credit events that are covered by the credit …
---------+3. If premia paid to credit protection provides are not recognised in the profit and loss account …
---------+4. Where premia are paid up-front, or not linked to losses in the asset pool being protected or …
---------+1. Competent authorities should assess whether significant credit risk is transferred to third …
---------+1. Where an originator institution is using the Ratings Based Method as specified in Article 261 of …
---------+1. Competent authorities should consider whether the originator institution has appropriate …
------+Title IV - Requirements for originator institutions
---------+1. Originator institutions should provide the competent authority with all requested information of …
---------+2. Originator institutions should at least notify the relevant competent authority of any …
---------+1. Originator institutions should have a governance process in place for evaluating transactions …
---------+2. Originator institutions should have appropriate systems and controls regarding SRT through …
---------+3. Originator institutions should have policies and methodologies in place that ensure ongoing …
---------+1. Originator institutions should have policies and methodologies in place that ensure the possible …
---------+2. Originator institutions’ SRT policies should be part of their broader capital allocation …
---------+3. Originator institutions should make an assessment of the risks involved on any potential …
---------+4. When conducting their SRT assessment, originator institutions should also consider whether the …
---------+5. Originator institutions should analyse whether they can prudently afford the premia payable …
---------+1. Originator institutions should use appropriate methods and procedures to assess and demonstrate …
---------+2. Originator institutions should assess the expected loss (EL) and the unexpected loss (UL) of the …
---------+3. Originator institutions should consider the transaction structure and structural features of the …
---------+4. In order to identify such factors that may undermine the transfer of credit risk and SRT to …
------+Title V- Final Provisions and Implementation
------+Annex 1 – Reporting Template for Competent Authorities
 English - European Union - Financial Industry -

Guidelines on significant risk transfer (SRT) for securitisation transactions (EBA/GL/2014/05)

Guidelines on significant risk transfer (SRT) for securitisation transactions (EBA/GL/2014/05)

https://www.eba.europa.eu/activities/single-rulebook/regulatory-activities/securitisation-and-covered-bonds/guidelines-significant-risk-transfer-srt-securitisation-transactions – PDF

1. Overview

,
3. EBA Guidelines on significant risk transfer for securitisation transactions

3. EBA Guidelines on significant risk transfer for securitisation transactions

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards

Linked Issues

Issuelinks
is related to Imported: Guidelines on significant risk transfer (SRT) for securitisation transactions (2015-01-07-3b8cdd9e5c-3dad)
is related to Assignments added: Guidelines on significant risk transfer (SRT) for securitisation transactions (2015-01-07-3b8cdd9e5c-3dad) – 27 links
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