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In response to the mandate on significant risk transfer laid down in the Capital Requirements Regulation (CRR), this paper puts forward for public discussion proposals to strengthen the regulation and supervision framework of significant risk transfer and to improve regulatory certainty and level playing field for institutions transferring risk through securitisation.
Based on its monitoring activity, the EBA found that further regulatory specifications may be needed with regards to the process of significant risk transfer assessment, its quantitative assessment by competent authorities as well as the supervisory approach to core structural features of the securitisation transaction, such as, for example, amortisation structure, excess spread, cost of credit protection, and call options. The EBA's analysis also covers the significant risk transfer in securitisation of non-performing loans (NPLs), one of the key measures towards the NPL resolution.
Consulting stakeholders at this stage is particularly important as the EBA's proposals are fully based on the newly agreed European securitisation framework, which will enter into force in the coming months, and will introduce simple transparent and standardised securitisations across the EU. Significant risk transfer will be a crucial aspect of such a reform.
Comments to this consultation can be sent to the EBA by 19 December 2017. A public hearing will take place at the EBA premises on 17 November 2017 from 10.00 to 12.00 UK time.
Discussion paper on the significant risk transfer in securitisation
Securitisation and covered bonds