Clifford Chance

EBA final report on draft RTS on homogeneity of underlying exposures in STS securitisations

17 February 2023

On 14 February 2023, the European Banking Authority ("EBA") published its final report (the "EBA Final Report") on draft regulatory technical standards ("RTS") specifying the criteria for the underlying exposures in securitisation transactions to be deemed homogeneous. The relevant mandate was part of the introduction of a cross-sectoral framework for simple, transparent and standardised ("STS") on-balance-sheet synthetic securitisations. In particular, Regulation (EU) 2017/2402 (the "Securitisation Regulation") together with Regulation (EU) 575/2013 (the "CRR") established a general EU framework for securitisation and created a specific framework for STS securitisations.

Until 9 April 2021, only traditional (or "true sale") securitisations were eligible to attain STS status pursuant to the EU securitisation framework. For the purposes of determining which underlying exposures are deemed to be homogeneous in the context of the STS framework for traditional securitisations, the Commission adopted Delegated Regulation (EU) 2019/1851 (the "Existing RTS").

On 6 April 2021, the Securitisation Regulation was amended pursuant to Regulation (EU) 2021/557 to include a cross-sectoral framework for STS for on-balance-sheet (synthetic) securitisations as well, effective as of 9 April 2021. As part of this change, and given that the STS requirements for on-balance-sheet synthetic securitisations did not exist at the time when the Existing RTS was published, the EBA was mandated to develop draft RTS further specifying which underlying exposures are deemed to be homogeneous in the context of the STS framework for on-balance-sheet (synthetic) securitisations (see Article 26b(13) of the Securitisation Regulation).

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