EBA consults on the homogeneity of underlying exposures in securitisation

15 December 2017

The European Banking Authority (EBA) launched today a public consultation on draft Regulatory Technical Standards (RTS) specifying a set of criteria for the underlying exposures in securitisation to be deemed homogeneous, as part of the requirements under the new EU securitisation framework.

Homogeneity of the underlying exposures is one of the requirements for simple, transparent and standardised (STS) securitisation, which is eligible for more risk-sensitive risk weights, under the new EU securitisation framework.

These RTS define a set of criteria according to which the underlying exposures are deemed homogeneous. These include:

• the need to be underwritten according to similar underwriting standards, methods and criteria;
• the need to be serviced according to uniform servicing procedures;
• the need to fall within the same asset category and
• to be further differentiated by the application of relevant risk factors.

In order to provide more clarity and facilitate the assessment of the homogeneity, the RTS provide a non-exhaustive list of asset categories, as well as lists of the risk factors to be generally considered for each of these asset categories. The RTS require that only those risk factor(s) which are relevant for determining the homogeneity of a specific pool of the underlying exposures, should be effectively applied to that particular pool.

The RTS also include an alternative option to determine homogeneity, according to which the risk factors should be reflected in the underwriting standards, with a view to gather a comprehensive feedback on the most appropriate approach for the interpretation of the homogeneity requirement.

Responses to this consultation can be sent to the EBA 15 March 2018. A public hearing will take place at the EBA premises on 19 February 2018 from 14:00 to 16:00 UK time.

Press release

Consultation paper

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