The European Banking Authority (EBA) has published a discussion paper on the significant risk transfer (SRT) in securitisation.

The EBA is seeking views on enhancing the regulatory and supervisory playing field with respect to the assessment and recognition of SRT in three core areas:

  • the standardisation of the process of SRT assessment by Member State competent authorities (NCAs) as regards the originators’ notification of SRT and the national competent authority’s feedback on the achievement of SRT, for any particular transaction;
  • a set of selected structural features that are widely present in securitisation transactions and that affect the sustainability of SRT during the life of the transaction, including but not limited to the use of excess spread and pro-rata amortisation schemes. The EBA is seeking views on proposals that seek to strengthen the supervisory assessment of such features; and
  • a set of proposals that are aimed to tackle the identified limitation of the EU framework to measure SRT, and in particular to provide a platform for a more harmonised assessment of the concept of commensurate risk transfer.

In addition, the discussion paper provides an overview of the current market practices of transfer of non-performing loans (NPLs), including a description of the public support initiatives introduced so far to facilitate NPL securitisation.

The deadline for comments on the discussion paper is 19 December 2017.

View EBA discussion paper on significant risk transfer in securitisation, 19 September 2017