+Guidelines on the STS criteria for on-balance-sheet securitisations (EBA/GL/2024/05)
---+1. Compliance and reporting obligations
------+Status of these guidelines
---------+1. This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010 …
---------+2. Guidelines set the EBA view of appropriate supervisory practices within the European System of …
------+Reporting requirements
---------+3. According to Article 16(3) of Regulation (EU) No 1093/2010, competent authorities shall notify …
---------+4. Notifications will be published on the EBA website, in line with Article 16(3) of Regulation …
---+2. Subject matter, scope and definitions
------+Subject matter
---------+5. These guidelines specify, in accordance with Article 26a of Regulation (EU) 2017/2402 , how the …
------+Scope of application
---------+6. These guidelines should apply in accordance with the scope of application of Regulation (EU) …
------+Addressees
---------+7. These guidelines are addressed to competent authorities referred to in Article 4, point (2), of …
---+3. Implementation
------+Date of application
---------+8. These guidelines apply from 09/12/2024 . These guidelines apply to on-balance-sheet …
---+4. Criteria relating to simplicity
------+9. For the purposes of Article 26b(3) of Regulation (EU) 2017/2402, the term balance sheet should …
------+10. The criterion in accordance with Article 26b(4) of Regulation (EU) 2017/2402 should be …
------+11. For the purposes of Article 26b(4) of Regulation (EU) 2017/2402, separate credit protection …
------+12. For the purpose of Article 26b(6) of Regulation (EU) 2017/2402, the ‘group’ should be …
------+13. For the purposes of Article 26b(6) of Regulation (EU) 2017/2402, the ‘entity which is included …
------+14. For the purposes of Article 26b(6), point (e), of Regulation (EU) 2017/2402, the underwriting …
------+15. Compliance with the previous paragraph should not imply that either the originator or the …
------+16. For the purposes of Article 26b(6), point (f), of Regulation (EU) 2017/2402, the ‘best …
------+17. For the purposes of Article 26b(7) of Regulation (EU) 2017/2402, active portfolio management …
------+18. The techniques of portfolio management that should not be considered active portfolio …
------+19. For the purposes of Article 26b(7) of Regulation (EU) 2017/2402, the eligibility criteria …
------+20. For the purposes of Article 26b(7) of Regulation (EU) 2017/2402, meeting ‘ eligibility criteria …
------+21. Eligibility criteria to be applied to the underlying exposures in accordance with the previous …
------+22. Article 26b(7), fourth subparagraph, of Regulation (EU) 2017/2402 lays down an exhaustive list …
------+23. For the purposes of Article 26b(8), second subparagraph, of Regulation (EU) 2017/2402 …
------+24. For the purposes of Article 26b(8), third subparagraph, of Regulation (EU) 2017/2402, exposures …
------+25. For the purposes of Article 26b(10), first subparagraph, of Regulation (EU) 2017/2402, material …
------+26. Changes to such underwriting standards should be deemed material where they refer to either of …
------+27. The disclosure of all changes to underwriting standards should include an explanation of the …
------+28. With regard to trade receivables which are not originated in the form of a loan, the reference …
------+29. In accordance with Article 26b(10), second subparagraph, of Regulation (EU) 2017/2402, the pool …
------+30. Residential loans that were underwritten but were not marketed on the premise that the loan …
------+31. For the purposes of Article 26b(10), second subparagraph, of Regulation (EU) 2017/2402, the …
------+32. Relevant information for general non-income-generating residential mortgages should normally be …
------+33. For the purposes of Article 26b(10), third subparagraph, of Regulation (EU) 2017/2402, the …
------+34. For the purposes of determining whether an originator or original lender has expertise in …
------+35. An originator or original lender should be deemed to have the required expertise when either of …
------+36. For the purposes of demonstrating the number of years of professional experience, the relevant …
------+37. For the purposes of Article 26b(10), fourth subparagraph, of Regulation (EU) 2017/2402 …
------+38. For the purposes of Article 26b(11) of Regulation (EU) 2017/2402, the exposures in default …
------+39. Where an originator or original lender is not an institution and is therefore not subject to …
------+40. For the purposes of Article 26b(11) of Regulation (EU) 2017/2402, the circumstances specified …
------+41. The prohibition of the inclusion of underlying exposures ‘to a credit -impaired debtor or …
------+42. For the purposes of Article 26b(11) of Regulation (EU) 2017/2402, the ‘best knowledge’ standard …
------+43. For the purposes of Article 26b(11), point (a), of Regulation (EU) 2017/2402, the requirement …
------+44. The requirement referred to in Article 26b(11), point (b), of Regulation (EU) 2017/2402 should …
------+45. For the purposes of Article 26b(11), point (c), of Regulation (EU) 2017/2402, the …
------+46. The conditions in the previous paragraph should be considered to have been met where either of …
------+47. For the purposes of Article 26b(12) of Regulation (EU) 2017/2402, further advances and drawings …
------+48. For the purposes of Article 26b(12) of Regulation (EU) 2017/2402, the intended selection of a …
------+49. For the purposes of Article 26b(12) of Regulation (EU) 2017/2402, the payment referred to in …
---+5. Criteria relating to standardisation
------+50. For the purposes of Article 26c(1) of Regulation (EU) 2017/2402, the competent authorities …
------+51. For the purposes of Article 26c(2), third subparagraph, of Regulation (EU) 2017/2402, exposures …
------+52. For the purposes of Article 26c(2), third subparagraph, of Regulation (EU) 2017/2402, common …
------+53. For the purposes of Article 26c(3) of Regulation (EU) 2017/2402, interest rates that should be …
------+54. For the purposes of Article 26c(3) of Regulation (EU) 2017/2402, interest rate caps or floors …
------+55. For the purposes of Article 26c(4), second subparagraph, of Regulation (EU) 2017/2402, the …
------+56. For the purposes of Article 26c(4) of Regulation (EU) 2017/2402, it should be permissible to …
------+57. For the purposes of Article 26c(5) of Regulation (EU) 2017/2402, in addition to the minimum …
------+58. For the purpose of Article 26c(5), third subparagraph, of Regulation (EU) 2017/2402, once the …
------+59. For the purposes of Article 26c(7), point (d), of Regulation (EU) 2017/2402, servicing …
------+60. For the purposes of Article 26c(7), point (c), of Regulation (EU) 2017/2402, the servicing …
------+61. For the purposes of Article 26c(7), point (b), of Regulation (EU) 2017/2402, the trustee and …
------+62. For the purposes of determining whether a servicer has expertise in servicing exposures of a …
------+63. A servicer should be deemed to have the required expertise where either of the following …
------+64. For the purpose of demonstrating the number of years of professional experience, the relevant …
------+65. For the purposes of Article 26c(8) of Regulation (EU) 2017/2402, the interpretation of the term …
------+66. For the purposes of Article 26c(8) of Regulation (EU) 2017/2402, the servicer should be …
------+67. For the purposes of Article 26c(10) of Regulation (EU) 2017/2402, provisions of the transaction …
------+68. For the purposes of Article 26c(10) of Regulation (EU) 2017/2402, where mandatory statutory …
---+6. Criteria relating to transparency
------+69. For the purposes of Article 26d(1) of Regulation (EU) 2017/2402, where the originator cannot …
------+70. For the purposes of Article 26d(1) of Regulation (EU) 2017/2402, the term ‘substantially …
------+71. For the purposes of Article 26d(1) of Regulation (EU) 2017/2402, the substantially similar …
------+72. For the purposes of Article 26d(2) of Regulation (EU) 2017/2402, the underlying exposures that …
------+73. For the purposes of Article 26d(2) of Regulation (EU) 2017/2402, a party should be deemed …
------+74. For the purposes of Article 26d(2) of Regulation (EU) 2017/2402, the verification should be …
------+75. In any case, the minimum number of the underlying exposures in the sample should be 50. For …
------+76. The verification should include a check of the originator’s database or IT systems against the …
------+77. The verification should be carried out in the form of an agreed-upon procedures report. …
------+78. For the purposes of Article 26d(2) of Regulation (EU) 2017/2402, confirmation that this …
------+79. For the purposes of Article 26d(2) of Regulation (EU) 2017/2402, where no notes are issued …
------+80. For the purposes of Article 26d(3) of Regulation (EU) 2017/2402, the liability cash flow model …
------+81. For the purposes of Article 26d(3) of Regulation (EU) 2017/2402, where the liability cash flow …
------+82. The requirement in Article 26d(4) of Regulation (EU) 2017/2402 should be applicable only if the …
------+83. For the purposes of Article 26d(5) of Regulation (EU) 2017/2402, the competent authorities …
---+7. Criteria specific to on-balance-sheet securitisation
------+84. For the purposes of Article 26e(1), first subparagraph, of Regulation (EU) 2017/2402, the …
------+85. For the purposes of Article 26e(2) of Regulation (EU) 2017/2402, if the amount of the …
------+86. For the purposes of Article 26e(2), second subparagraph, point (b), of Regulation (EU) …
------+87. For the purposes of Article 26e(2) of Regulation (EU) 2017/2402, the expected loss amount …
------+88. For the purposes of Article 26e(3), third subparagraph, of Regulation (EU) 2017/2402, where the …
------+89. For the purposes of Article 26e(4) of Regulation (EU) 2017/2402, the third-party verification …
------+90. For the purposes of Article 26e(4), third subparagraph, of Regulation (EU) 2017/2402, without …
------+91. For the purposes of Article 26e(4), first subparagraph, point (e), of Regulation (EU) …
------+92. For the purposes of Article 26e(5), first subparagraph, point (d), of Regulation (EU) …
------+93. For the purposes of Article 26e(5), first subparagraph, point (d), of Regulation (EU) …
------+94. For the purposes of Article 26e(5), first paragraph, point (b), in the case of credit-linked …
------+95. For the purposes of Article 26e(7) of Regulation (EU) 2017/2402, the one-year regulatory …
------+96. For the purposes of Article 26e(7), point (a), of Regulation (EU) 2017/2402, the term ‘ fixed …
------+97. For the purposes of Article 26e(7), point (d), of Regulation (EU) 2017/2402, for the …
------+98. Article 26e(7), point (c), of Regulation (EU) 2017/2402, should apply where the originator …
------+99. For the purposes of Article 26e(7), point (a), the term ‘ payment period ’ should be understood …
------+100. For the purposes of Article 26e(10), first subparagraph, point (a), of Regulation (EU) …
------+101. Article 26e(10), first subparagraph, point (a)(i), of Regulation (EU) 2017/2402 should be …
------+102. For the purposes of Article 26e(10), first subparagraph, point (b), of Regulation (EU) …
---+8. Amendments to Guidelines EBA/GL/2018/08 and EBA/GL/2018/09 on the STS criteria for ABCP and non-ABCP securitisation
------+103. EBA/GL/2018/09 is amended as follows: a. Paragraph 8 of the Guidelines is replaced by the …
------+104. EBA/GL/2018/08 is amended as follows: a. Paragraph 8 of the Guidelines is replaced by the …

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Guidelines on the STS criteria for on-balance-sheet securitisations (EBA/GL/2024/05)

Guidelines on the STS criteria for on-balance-sheet securitisations (EBA/GL/2024/05)

https://www.eba.europa.eu/activities/single-rulebook/regulatory-activities/securitisation-and-covered-bonds/guidelines-sts-criteria-balance-sheet-securitisations – PDF

1. Overview

,

Summary	Regulation
1. Compliance and reporting obligations	1. Compliance and reporting obligations
2. Subject matter, scope and definitions	2. Subject matter, scope and definitions
3. Implementation	3. Implementation
4. Criteria relating to simplicity	Exposures held on the balance sheet (Article 26b(3) of Regulation (EU) 2017/2402) Balance sheet
5. Criteria relating to standardisation	Compliance with the risk retention requirements (Article 26c(1) of Regulation (EU) 2017/2402)
6. Criteria relating to transparency	Data on historical default and loss performance (Article 26d(1) of Regulation (EU) 2017/2402) Data
7. Criteria specific to on-balance-sheet securitisation	Credit events covered under the credit protection agreement (Article 26e(1) of Regulation (EU) 2017/2402) Additional credit events
8. Amendments to Guidelines EBA/GL/2018/08 and EBA/GL/2018/09 on the STS criteria for ABCP and non-ABCP securitisation	8. Amendments to Guidelines EBA/GL/2018/08 and EBA/GL/2018/09 on the STS criteria for ABCP and non-ABCP securitisation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source	Requirement

3. Related Standards

Standards
Source	Requirement

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