104. EBA/GL/2018/08 is amended as follows: a. Paragraph 8 of the Guidelines is replaced by the …

EBA/GL/2018/08 is amended as follows:

• a. Paragraph 8 of the Guidelines is replaced by the following:

‘ These guidelines are addressed to competent authorities referred to in Article 4, point (2), of Regulation (EU) 1093/2010 that have been designated as competent authorities pursuant to Article 29(5) of Regulation (EU) 2017/2402, and to financial institutions referred to in Article 4, point (1), of Regulation (EU) 1093/2010 that are subject to regulation and supervision pursuant to Regulation (EU) 2017/2402, including third parties verifying STS compliance also in accordance with Article 2 (5), last subparagraph, of Regulation 1093/2010. Competent authorities designated pursuant to Article 29(5) of Regulation (EU) 2017/2402 that do not qualify as competent authorities pursuant to Article 4, point (2), of Regulation No 1093/2010 are encouraged to apply these guidelines. ’

• b. Paragraph 29 of the Guidelines is replaced by the following:

‘ For the purposes of Article 24(9) of Regulation (EU) 2017/2402, the circumstances specified in points (a) to (c) of that paragraph should be understood as definitions of credit-impairedness. Other possible circumstances of credit-impairedness that are not captured in points (a) to (c) should be understood to be excluded from this requirement. ’

• c. Paragraph 34 of the Guidelines is replaced by the following:

‘ For the purposes of Article 24(9), point (c), of Regulation (EU) 2017/2402, the credit-impaired debtors or guarantors of exposures should not be considered to have a “ credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures of other credit-impaired debtors or guarantors held by the originator which are not securitised ” when both of the following conditions apply:

• a. the most relevant factors determining the expected performance of the underlying exposures and the comparable exposures are similar;
• b. as a result of the similarity referred to in point (a) it could reasonably have been expected, on the basis of indications such as past performance or the applicable models, that, over the life of the transaction or over a maximum of four years, where the life of the transaction is longer than four years, the performance of the underlying exposures would not be significantly worse than that of the comparable exposures. ’
• d. Paragraph 35 of the Guidelines is replaced by the following:

‘ The conditions in the previous paragraph should be considered to have been met where either of the following applies:

• a. the underlying exposures do not include exposures that are classified as doubtful, impaired or non-performing, or classified to a similar effect under the relevant accounting principles;
• b. the underlying exposures do not include exposures to debtors or guarantors whose credit quality, based on credit ratings or other credit quality thresholds, is significantly worse than the credit quality of debtors or guarantors of comparable exposures that the originator originates in the course of its standard lending operations and credit risk strategy. ’
• e. Paragraph 36 of the Guidelines is replaced by the following:

‘ For the purposes of Article 24(10) of Regulation (EU) 2017/2402, further advances and drawings in terms of one exposure or a restructuring of the same exposure to a certain borrower should not be deemed to trigger a new “ at least one payment ” requirement with respect to such an exposure. ’

• f. An additional paragraph 36a is added following paragraph 36:

‘ For the purposes of Article 24(10) of Regulation (EU) 2017/2402, the intended transfer of a different separate exposure to the same borrower to the SSPE should trigger a new “ at least one payment ” requirement with respect to such an exposure. ’

• g. Paragraph 37 of the Guidelines is replaced by the following: ‘ For the purposes of Article 24(10) of Regulation (EU) 2017/2402, the payment referred to in the requirement according to which “ at least one payment ” should have been made at the time of transfer should be a rental, principal or interest payment or any other kind of ordinary payment specified in the contractual agreement relating to the exposure. ’
• h. Paragraph 51 of the Guidelines is replaced by the following:

‘ For the purposes of Article 24(14) of Regulation (EU) 2017/2402, the term “ substantially similar exposures ” should be understood as referring to exposures for which both of the following conditions are met:

• a. the most relevant factors determining the expected performance of the underlying exposures are similar;
• b. as a result of the similarity referred to in point (a) it could reasonably have been expected, on the basis of indications such as past performance or applicable models, that, over the life of the transaction, or over a maximum of four years, where the life of the transaction is longer than four years, their performance would not be significantly worse than that of the securitised exposures. ’
• i. Paragraph 57 of the Guidelines is replaced by the following:

‘ For the purposes of Article 24(16) of Regulation (EU) 2017/2402, interest rates that should be considered to be an adequate reference basis for referenced interest payments should include all of the following:

• a. interbank rates including Libor, Euribor and other recognised benchmarks;
• b. other established reference interest rates such as €STR, SONIA, SOFR and TONA ;
• c. rates set by monetary policy authorities, including federal funds rates and central banks’ discount rates;
• d. sectoral rates reflective of a lender’s cost of funds, including standard variable rates and internal interest rates that directly reflect the market costs of funding of a bank or a subset of institutions, to the extent that sufficient data are provided to investors to allow them to assess the relation of the sectoral rates to other market rates. ’
• j. Paragraph 65 of the Guidelines is replaced by the following: ‘ For the purposes of Article 24(18), fourth subparagraph, of Regulation (EU) 2017/2402, exposures should be considered to be of a similar nature if one of the following conditions is met:
• a. the exposures belong to one of the asset categories referred to in Article 1, first paragraph, points (a)(i) to (a)(iii) or (a)(v) to (a)(vii), of Delegated Regulation (EU) 2019/1851;
• b. the exposures belong to the asset category referred to in Article 1, first paragraph, point (a)(iv), of Delegated Regulation (EU) 2019/1851, and to the same type of obligor referred to in Article 2(3), point (a), of that Regulation;
• c. the exposures belong to the asset category referred to in Article 1, first paragraph, point (a)(viii), of Delegated Regulation (EU) 2019/1851, and they share similar characteristics with respect to any of the homogeneity factors referred to in Article 2(6) of that Regulation. ’
• k. Paragraph 69 of the Guidelines is replaced by the following:

‘ Changes to such underwriting standards should be deemed material where they refer to either of the following types of changes to the underwriting standards:

• a. changes that affect the requirement of the similarity of the underwriting standards further specified in Article 1, first paragraph, point (b), of Delegated Regulation (EU) 2019/1851;
• b. changes that materially affect the overall credit risk or expected average performance of the pool of underlying exposures without resulting in substantially different approaches to the assessment of the credit risk associated with the underlying exposures. ’
• l. Paragraph 82 is replaced by the following paragraph:

‘ For the purposes of Article 26(1) of Regulation (EU) 2017/2402, an appropriate and independent party should be deemed to be a party that meets both of the following conditions:

• a. it has the experience and capability to carry out the verification;
• b. it is none of the following:
• i. a credit rating agency;
• ii. a third party verifying STS compliance in accordance with Article 28 of Regulation (EU) 2017/2402;
• iii. an entity affiliated to the originator, sponsor, investor or SSPE . ’

1. Overview

1.1 References

• Article 29 5.
• Article 24 9.
• Article 24 10.
• Article 24 14.
• Article 24 16.
• Article 26 1.
• Article 28 Third party verifying STS compliance

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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