Titolo IV - Requisiti per gli enti cedenti

Gli enti cedenti dovrebbero porre in essere politiche e metodologie atte a garantire che la possibile riduzione dei requisiti in materia di fondi propri conseguita dagli enti cedenti attraverso la cartolarizzazione sia giustificata da un trasferimento equivalente del rischio di credito a terzi.

Le politiche degli enti cedenti sul trasferimento significativo del rischio dovrebbero rientrare fra le più ampie strategie di tali enti per l'allocazione del capitale. In particolare, le politiche degli enti cedenti in materia di trasferimento del rischio di credito e di trasferimento significativo del rischio a terzi dovrebbero specificare in che modo le operazioni che sono soggette ad un trasferimento significativo del rischio sono in linea con le strategie di gestione complessiva del rischio e l'allocazione del capitale interno degli enti cedenti.

Gli enti cedenti dovrebbero utilizzare metodi e procedure adeguati per valutare e dimostrare un trasferimento significativo del rischio.

Gli enti cedenti dovrebbero valutare la perdita attesa ( expected loss - EL) e la perdita inattesa ( unexpected loss - UL) delle attività cartolarizzate per tutta la durata dell'operazione quando svolgono una valutazione del trasferimento significativo del rischio.

Gli enti cedenti dovrebbero considerare la struttura dell'operazione e le caratteristiche strutturali della cartolarizzazione, per esempio se l'operazione è di tipo tradizionale o è sintetica, le tecniche di copertura o disallineamenti di durata, se presenti.

Originator institutions should have policies and methodologies in place that ensure the possible reduction of own funds requirements achieved by originator institutions through securitisation is justified by a commensurate credit risk transfer to third parties.

Originator institutions’ SRT policies should be part of their broader capital allocation strategies. In particular, the originator institutions’ policies on transfer of credit risk and SRT to third parties should specify how transactions claiming SRT align with originator institutions’ overall risk management strategies and internal capital allocation.

Originator institutions should make an assessment of the risks involved on any potential transaction claiming SRT, including an assessment of the risk of the underlying assets, an assessment of the securitisation structure itself considering the credit risk of the tranches and other relevant factors that affect the substance of credit risk transfer.

When conducting their SRT assessment, originator institutions should also consider whether the possible reduction of own funds requirements is in line with the economic credit risk transfer achieved, for example by comparing the effects of the securitisation on originator institutions’ economic capital and on originator institutions’ own funds requirements.

Originator institutions should analyse whether they can prudently afford the premia payable under the relevant transactions given their earnings, capital, and overall financial condition.

14. Other requirements

Originator institutions should use appropriate methods and procedures to assess and demonstrate SRT.

Originator institutions should assess the expected loss (EL) and the unexpected loss (UL) of the securitised assets throughout the maturity of the transaction when conducting an SRT assessment.

Originator institutions should consider the transaction structure and structural features of the securitisation, for example, if the transaction is cash or synthetic, any hedging techniques or maturity mismatches, if any.

In order to identify such factors that may undermine the transfer of credit risk and SRT to third parties, originator institutions should evaluate the degree of credit risk mitigation or credit risk transfer of a transaction considering, amongst others, factors such as the following, to the extent applicable:

• a. A comparison of the present value of premia and other costs not yet recognised in own funds relative to losses of the protected exposures over a variety of stress scenarios;
• b. The pricing of the transaction relative to market prices, including appropriate consideration of premium payments;
• c. The timing of payments under the transaction, including potential timing differences between the originator institutions’ provisioning for or write downs of the protected exposures and payments by the protection seller;
• d. A review of applicable call dates to assess the likely duration of the credit protection obtained relative to the potential timing of future losses on the protected exposures;
• e. An assessment of counterparty credit risk, in particular an analysis of whether certain circumstances could lead to the originator institutions’ increased reliance on the counterparty providing credit protection at the same time that the counterparty's ability to meet its obligations is weakened;
• f. The nature of the link between the different entities involved in the transaction (originator, arranger, investors, protection seller etc);
• g. The existence of implicit forms of credit enhancement;
• h. The thickness of the mezzanine and junior tranches relative to the credit risk profile of the underlying exposures; and
• i. An assessment of the credit risk of the underlying assets: this could be achieved through stresses applied to the underlying assets, an assessment of the payment profile of the exposure to the underlying assets’ credit risk, evaluation of key credit risk factors (i.e. LGD, PD, EAD, etc.).