On 23 November 2020, the European Banking Authority (EBA) published a report on significant risk transfer (SRT) in securitisation transactions, which includes a set of detailed recommendations to the European Commission on the harmonisation of practices and processes applicable to the SRT assessment. The EBA proposals aim to enhance the efficiency, consistency and predictability of the supervisory significant risk transfer (SRT) assessment within the current securitisation framework. The report has been prepared in accordance with the mandate laid down in the respective paragraphs (6) of Articles 244 and 245 of the Capital Requirements Regulation (CRR).
The report focusses on three key subject areas singled out by a Discussion Paper that the EBA published in September 2017 on the SRT in securitisation:
- Structural features of securitisation transactions: these refer to the treatment for SRT purposes of certain characteristics of both traditional and synthetic transactions that may be detrimental to complying with SRT requirements on a continuous basis and, thus, affect the ‘effectiveness’ of the risk transfer.
- The SRT tests: these relate both to the interpretation of the quantitative thresholds and measures used by the first‐loss and mezzanine tests and to the qualitative commensurateness test in general, for which the CRR provides only high‐level criteria.
- The process applied by supervisors to assess SRT.
The report informs the Delegated Act that the Commission may adopt to harmonise the interpretation of Articles 244 and 245 and, thus, the substantive aspects of the EU supervisory SRT framework