The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) setting out the conditions for the assessment of the homogeneity of the underlying exposures in a pool of a Simple Transparent and Standardised (STS) on-balance-sheet securitisation. Homogeneity is one of the key simplicity requirements enabling originators and investors to properly assess the underlying risks while facilitating investors due diligence.

The EBA has extended the existing work on the RTS on homogeneity for both asset-backed commercial paper (ABCP) and non-ABCP securitisation in order to ensure consistency for on-balance-sheet securitisation to the overall STS framework. Therefore, these draft RTS are amending the Delegated Commission Regulation (EU) 2019/1851 by extending the scope to on-balance-sheet securitisations considering the specificities of these securitisations. The existing provisions set out in the 2019 Commission Delegated Regulation are maintained, although with minor modifications so asto ensure consistency with the new mandate for on-balance-sheet securitisations and to provide further clarity on specific requirements.

In particular, these RTS clarify that also for on-balance-sheet securitisations, homogeneous exposures need to be underwritten according to similar underwriting standards and serviced according to similar servicing procedures. In addition, they need to fall within the same asset category specified therein and be further assessed with reference to at least one of the homogeneity factors, such as type of obligor, ranking of security rights, jurisdiction, or type of immovable property.

Finally, in order to ensure a continuation of existing securitisation transactions, transitional provisions have been introduced for those securitisations who have been notified as STS and whose securities were issued before its application date. This ensures that existing transactions will continue to remain STS compliant.

Legal basis

The draft RTS have been developed according to Articles 20(14), 24(21) and 26b(13) of the Regulation (EU) 2017/2402 (the Securitisation Regulation) as amended by Regulation (EU) 2021/557 (as part of the Capital Markets Recovery Package). Articles 20(14) and 24(21), mandated the EBA, in close cooperation with ESMA and EIOPA, to develop the RTS further specifying which underlying exposures are deemed to be homogeneous for non-ABCP and ABCP securitisations accordingly. Article 26b(13) established a corresponding mandate for on-balance-sheet securitisations.

DOCUMENTS

• Final draft Regulatory Technical Standards on the homogeneity of the underlying exposures in STS securitisation